Fractal activity time and integer valued models in finance

Kerss, Alexander 2014. Fractal activity time and integer valued models in finance. PhD Thesis, Cardiff University. Item availability restricted.

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Abstract

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.

Item Type:	Thesis (PhD)
Status:	Unpublished
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Uncontrolled Keywords:	Risky asset, tempered stable, dependence, option pricing, integer valued, Skellam, fractional.
Date of First Compliant Deposit:	30 March 2016
Last Modified:	19 Oct 2023 10:56
URI:	https://orca.cardiff.ac.uk/id/eprint/68211

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