Topics in financial and computational mathematics

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Topics in financial and computational mathematics

In this thesis, we consider two different aspects in financial option pricing. In the first part, we consider stochastic differential equations driven by general Lévy processes (SDEs) with finite and infinite activity and the re- lated, via the Feynman-Kac formula, Dirichlet problem for integro-part...

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Bibliographic Details
Main Author:	Maurer, Simon
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2021
Subjects:	financial option pricing stochastic differential equations financial markets derivatives
Online Access:	https://eprints.nottingham.ac.uk/66180/

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