Study of Various Stochastic Differential Equation Models for Finance
The first part of the study focuses on European and American option pricing. We explore the jump diffusion models with stochastic volatility within the general equilibrium framework and use the minimal martingale measure as martingale measure. The second part of the thesis is on portfolio optimizati...
| Main Author: | |
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| Format: | Thesis |
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Curtin University
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/56545 |
| _version_ | 1848759880422260736 |
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| author | Li, Shuang |
| author_facet | Li, Shuang |
| author_sort | Li, Shuang |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The first part of the study focuses on European and American option pricing. We explore the jump diffusion models with stochastic volatility within the general equilibrium framework and use the minimal martingale measure as martingale measure. The second part of the thesis is on portfolio optimization. We formulate optimal asset allocation problem with multiple-periods under mean variance utility in the game theoretic framework, develop and solve a series of extended HJB equations for the problem. |
| first_indexed | 2025-11-14T10:06:55Z |
| format | Thesis |
| id | curtin-20.500.11937-56545 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:06:55Z |
| publishDate | 2017 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-565452017-10-04T02:43:09Z Study of Various Stochastic Differential Equation Models for Finance Li, Shuang The first part of the study focuses on European and American option pricing. We explore the jump diffusion models with stochastic volatility within the general equilibrium framework and use the minimal martingale measure as martingale measure. The second part of the thesis is on portfolio optimization. We formulate optimal asset allocation problem with multiple-periods under mean variance utility in the game theoretic framework, develop and solve a series of extended HJB equations for the problem. 2017 Thesis http://hdl.handle.net/20.500.11937/56545 Curtin University fulltext |
| spellingShingle | Li, Shuang Study of Various Stochastic Differential Equation Models for Finance |
| title | Study of Various Stochastic Differential Equation Models for Finance |
| title_full | Study of Various Stochastic Differential Equation Models for Finance |
| title_fullStr | Study of Various Stochastic Differential Equation Models for Finance |
| title_full_unstemmed | Study of Various Stochastic Differential Equation Models for Finance |
| title_short | Study of Various Stochastic Differential Equation Models for Finance |
| title_sort | study of various stochastic differential equation models for finance |
| url | http://hdl.handle.net/20.500.11937/56545 |