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Title: Option pricing with stable-like processes in stochastic volatility models and its optimization
Author: Bennett, Jonathan P.
Awarding Body: University of Wales, Swansea
Current Institution: Swansea University
Date of Award: 2006
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In this thesis we are concerned with the optimal control of jump type Stochastic Differential equations(SDEs), which we utilize to model the incomplete financial market. It is demonstrated how Levy type processes associated to general generators with variable coefficients can be linked to Levy processses with jumps in an abstract setting. Thus providing a useful way to deal with optimization problems where the financial market is being driven by a Levy type process. An application to two portfolio optimization problems will be made, initially set out in the abstract setting. Then with a special interest in modelling with stable-like processes we construct the coefficient of the jump term in the associated jump-type SDE, associated to a polar decomposed Levy measure, we are able to solve these optimization problems concretely.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available