The current Thesis is devoted to comprehensive studies of comparison, or stochastic domination, theorems. It presents a combination of theoretical research and practical ideas formulated in several specific examples. Previously known results and their place it the theory of stochastic processes and stochastic differential equations is reviewed. This part of the work yielded three new theoretical results, formulated as theorems. Two of them are extensions of commonly used methods to more sophisticated processes and conditions. The third theorem is proven using previously not exploited technique. The place of all three results in the global theory is demonstrated by examining interconnections and possible distinctions between old and new theorems. Second and equally important part of the work focuses on more practical
issues. Its main goal is to demonstrate where and how various theoretical findings can be applied to typical financial problems, such as option pricing,
hedging, risk management and others. The example chapter summarizes the best of the obtained results in this direction. / Mathematical Finance
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:AEU.10048/1258 |
| Date | 11 1900 |
| Creators | Krasin, Vladislav |
| Contributors | Melnikov, Alexander (mathematical and statistical sciences), Schmuland, Byron (mathematical and statistical sciences), Cadenillas, Abel (mathematical and statistical sciences), Choulli, Tahir (mathematical and statistical sciences), Szepesvari, Csaba (Computing science), Swishchuk, Anatoly (University of Calgary) |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | en_US |
| Detected Language | English |
| Type | Thesis |
| Format | 548191 bytes, application/pdf |
Page generated in 0.002 seconds