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Title: Fractal activity time and integer valued models in finance
Author: Kerss, Alexander
ISNI:       0000 0004 5346 5039
Awarding Body: Cardiff University
Current Institution: Cardiff University
Date of Award: 2014
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The role of the financial mathematician is to find solutions to problems in finance through the application of mathematical theory. The motivation for this work is specification of models to accurately describe the price evolution of a risky asset, a risky asset is for example a security traded on a financial market such as a stock, currency or benchmark index. This thesis makes contributions in two classes of models, namely activity time models and integer valued models, by the discovery of new real valued and integer valued stochastic processes. In both model frameworks applications to option pricing are considered.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: QA Mathematics