Applications of Stochastic calculus in economy and statistics: Extensions of the Kyle-Back model. Ambit processes and power variation.
This thesis deals with three possible applications of stochastic calculus: modelling prices by supply and demand in a financial market where there is an informed trader, turbulence and financial models using ambit processes and the asymptotic analysis of certain power variation processes. The thesi...
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| Format: | Doctoral Thesis |
| Language: | English |
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Universitat de Barcelona
2014
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| Online Access: | http://hdl.handle.net/10803/145973 |