Search for dissertations about: "Dorje C. Brody"

Found 1 swedish dissertation containing the words Dorje C. Brody.

2. 1. Bridges with Random Length and Pinning Point for Modelling the Financial Information

   Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

   Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE