Stochastic modelling and equilibrium in mathematical finance and statistical sequential analysis
The focus of this thesis are the equilibrium problem under derivative market imbalance, the sequential analysis problems for some time-inhomogeneous diffusions and multidimensional Wiener processes, and the first passage times of certain non-affine jump-diffusions. First, we investigate the impact o...
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London School of Economics and Political Science (University of London)
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.658187 |