Compound Lévy random bridges and credit risky asset pricing
In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We foc...
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| Format: | Doctoral Thesis |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20681 |