Search for dissertations about: "optimal stopping"
Showing result 1 - 5 of 37 swedish dissertations containing the words optimal stopping.
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1. Optimal timing decisions in financial markets
Abstract : This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. READ MORE
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2. Optimal stopping, incomplete information, and stochastic games
Abstract : This thesis contains six papers on the topics of optimal stopping and stochastic games. Paper I extends the classical Bayesian sequential testing and detection problems for a Brownian motion to higher dimensions. We demonstrate unilateral concavity of the cost function and present its structural properties through various examples. READ MORE
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3. Optimal Stopping and Model Robustness in Mathematical Finance
Abstract : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. READ MORE
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4. Optimal Sequential Decisions in Hidden-State Models
Abstract : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. READ MORE
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5. Optimal Stopping under Drift Uncertainty
Abstract : .... READ MORE