Search for dissertations about: "monotonicity in the volatility"
Found 3 swedish dissertations containing the words monotonicity in the volatility.
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1. Selected Problems in Financial Mathematics
Abstract : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. READ MORE
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2. On the pricing equations of some path-dependent options
Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE
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3. 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