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Application of continuous time Markov chain models : option pricing, term structure of interest rates and stochastic filtering

This thesis applies continuous time Markov chain theory to develop three different models for financial applications.

Identiferoai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:496255
Date January 2009
CreatorsLo, Chia Chun
PublisherUniversity of Essex
Source SetsEthos UK
Detected LanguageEnglish
TypeElectronic Thesis or Dissertation

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