subject:(Differential Pricing)

Penn State University

1. Liang, Chao. Approximate solution to second order parabolic equations, with application to financial modeling.

Degree: 2014, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/22656

► In this dissertation, we consider second order parabolic equations with variable coefficients. We derive the closed-form approximations to the associated fundamental solution, as well as… (more)

Subjects/Keywords: Partial Differential Equations; Financial Modeling; Option Pricing; Approximate Solutions; Symbolic Computation

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APA (6^th Edition):

Liang, C. (2014). Approximate solution to second order parabolic equations, with application to financial modeling. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/22656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/22656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Liang, Chao. “Approximate solution to second order parabolic equations, with application to financial modeling.” 2014. Web. 18 Jan 2021.

Vancouver:

Liang C. Approximate solution to second order parabolic equations, with application to financial modeling. [Internet] [Thesis]. Penn State University; 2014. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/22656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Liang C. Approximate solution to second order parabolic equations, with application to financial modeling. [Thesis]. Penn State University; 2014. Available from: https://submit-etda.libraries.psu.edu/catalog/22656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

2. Rigdon, Matthew Alden. Dynamic Pricing in an Urban Freight Environment .

Degree: 2008, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/8385

► This thesis proposes a dynamic, game-theoretic model of dynamic pricing in an urban freight environment with three distinct agent types: sellers, transporters and receivers. The… (more)

Subjects/Keywords: dynamic pricing; differential games; urban freight

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Rigdon, M. A. (2008). Dynamic Pricing in an Urban Freight Environment . (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/8385

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Rigdon, Matthew Alden. “Dynamic Pricing in an Urban Freight Environment .” 2008. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/8385.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Rigdon, Matthew Alden. “Dynamic Pricing in an Urban Freight Environment .” 2008. Web. 18 Jan 2021.

Vancouver:

Rigdon MA. Dynamic Pricing in an Urban Freight Environment . [Internet] [Thesis]. Penn State University; 2008. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/8385.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rigdon MA. Dynamic Pricing in an Urban Freight Environment . [Thesis]. Penn State University; 2008. Available from: https://submit-etda.libraries.psu.edu/catalog/8385

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

3. Meimand Kermani, Amir Hossein. DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS.

Degree: 2013, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/18978

► Recently, Stackelberg games have been employed by many economists who use game theory concepts to solve dynamic competitive service sector problems such as dynamic pricing,… (more)

▼ Recently, Stackelberg games have been employed by many economists who use game theory concepts to solve dynamic competitive service sector problems such as dynamic pricing, production planning, logistics, supply chain management, and transportation network ‡ow prediction and control. Hence, Stackelberg games have become the focus of much research activity. In this thesis, we provide a framework for studying player interaction based on the Stackelberg-Cournot-Nash behavioral assumption. We brie‡y review the classical the- ory of dynamic Stackelberg games, and show how the Nash equilibrium of a lower level problem may be better described by so-called di¤erential variational inequalities (DVI). We also show that when each agent in the lower level problem is solving a stochastic optimal control with a linear quadratic form, the stochastic Nash equilibrium can be expressed as a Riccati system of equations. Both a DVI formulation and a Riccati system of equations may be used to express the solution of the lower level problem implicitly as a function of the upper level problem’s controls. Hence, we are able to convert the bi-level optimization problem into a single-level problem. Furthermore, we study the application of di¤erential Stackelberg games on two di¤erent areas: freight transport, and strategic pricing and revenue management. In the …rst model, we con- sider a Stackelberg game between a single carrier that acts as the leader and multiple shippers involved in a Nash competition. In the second model, we study the interaction between a supplier who is the leader and multiple retailers who are competing to sell a homogeneous commodity in a market when the market price evolves based on an Ito-type stochastic process. Advisors/Committee Members: Terry Lee Friesz, Dissertation Advisor/Co-Advisor, Terry Lee Friesz, Committee Chair/Co-Chair, Venkataraman Shankar, Committee Chair/Co-Chair, Tao Yao, Committee Member, Soundar Kumara, Committee Member, Alberto Bressan, Committee Member.

Subjects/Keywords: DYNAMIC GAMES; STACKELBERG GAMES; DIFFERENTIAL GAMES; DYNAMIC PRICING; PRODUCTION PLANNING NETWORK DESIGN; LOGISTICS

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APA (6^th Edition):

Meimand Kermani, A. H. (2013). DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/18978

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Meimand Kermani, Amir Hossein. “DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS.” 2013. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/18978.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Meimand Kermani, Amir Hossein. “DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS.” 2013. Web. 18 Jan 2021.

Vancouver:

Meimand Kermani AH. DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS. [Internet] [Thesis]. Penn State University; 2013. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/18978.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Meimand Kermani AH. DIFFERENTIAL STACKELBERG GAMES AND THEIR APPLICATION TO DYNAMIC PRICING, PRODUCTION PLANNING NETWORK DESIGN, AND LOGISTICS. [Thesis]. Penn State University; 2013. Available from: https://submit-etda.libraries.psu.edu/catalog/18978

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Washington

4. Barger, Weston David. A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading.

Degree: PhD, 2020, University of Washington

URL: http://hdl.handle.net/1773/45103

► We examine three problems in mathematical finance. These problems broadly fall under the sub-disciplines of contract pricing and optimal execution of orders on an exchange… (more)

▼ We examine three problems in mathematical finance. These problems broadly fall under the sub-disciplines of contract pricing and optimal execution of orders on an exchange under price impact. The first problem deals with the pricing of contingent claims, a classical problem in mathematical finance. After a brief introduction to pricing, we derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process. We provide rigorous accuracy results for European-style claims which depend explicitly on the correlation parameter. For barrier-style claims, we include several numerical examples to illustrate the accuracy and versatility of our approximations. We then turn our attention to the problem of optimal execution. We assume a continuous-time price impact model similar to that of Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. For a fixed trading horizon, we perform coefficient expansion on the Hamilton-Jacobi-Bellman equation associated with the trader's value function. The coefficient expansion yields a sequence of partial differential equations that we solve to give closed-form approximations to the value function and optimal liquidation strategy, which is given in feedback form. We examine some special cases of the optimal liquidation problem and give financial interpretations of the approximate liquidation strategies in these cases. We then provide numerical examples to demonstrate the efficacy of our approximations. The third problem we consider deals with insider trading under price impact. We consider an exponentially risk-averse (or risk-neutral) trader who wishes to capitalize on inside information about the true value of an asset that is traded on an exchange. The insider faces a market maker who desires to set a fair price for the asset and attempts to do so by leveraging information contained in the aggregate order flow. We also assume that the insider faces a trading cost that is a linear function of the insider's trading speed. We give equilibrium strategies for the insider and the market maker in both the single auction and continuous-time settings. While the discrete-time equilibrium was given previously, we expand upon it by performing an expansion in small trading cost to analyze the behavior as the cost tends towards zero. A continuous-time equilibrium is given in terms of the solution to a forward-backward ordinary differential equation, which we arrive at by applying nonlinear filtering and dynamic programming in continuous time. We then give some comparative statics about the insider and market maker's strategies and numerically explore the effects of varying model parameters. Advisors/Committee Members: Lorig, Matthew (advisor).

Subjects/Keywords: Filtering; Option Pricing; Partial Differential Equations; Stochastic Control; Applied mathematics; Applied mathematics

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APA (6^th Edition):

Barger, W. D. (2020). A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading. (Doctoral Dissertation). University of Washington. Retrieved from http://hdl.handle.net/1773/45103

Chicago Manual of Style (16^th Edition):

Barger, Weston David. “A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading.” 2020. Doctoral Dissertation, University of Washington. Accessed January 18, 2021. http://hdl.handle.net/1773/45103.

MLA Handbook (7^th Edition):

Barger, Weston David. “A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading.” 2020. Web. 18 Jan 2021.

Vancouver:

Barger WD. A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading. [Internet] [Doctoral dissertation]. University of Washington; 2020. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/1773/45103.

Council of Science Editors:

Barger WD. A Partial Differential Equation Approach to Three Problems in Finance: Barrier Option Pricing, Optimal Asset Liquidation and Insider Trading. [Doctoral Dissertation]. University of Washington; 2020. Available from: http://hdl.handle.net/1773/45103

University of Kansas

5. Wang, Peixin. Application of stochastic differential equations to option pricing.

Degree: MA, Mathematics, 2016, University of Kansas

URL: http://hdl.handle.net/1808/21914

► The financial world is a world of random things and unpredictable events. Along with the innovative development of diversity and complexity in modern financial market,… (more)

Subjects/Keywords: Mathematics; Applied mathematics; Black-Scholes model; BSDE; Mathematica; optimal cotrol; option pricing; stochastic differential equation

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APA (6^th Edition):

Wang, P. (2016). Application of stochastic differential equations to option pricing. (Masters Thesis). University of Kansas. Retrieved from http://hdl.handle.net/1808/21914

Chicago Manual of Style (16^th Edition):

Wang, Peixin. “Application of stochastic differential equations to option pricing.” 2016. Masters Thesis, University of Kansas. Accessed January 18, 2021. http://hdl.handle.net/1808/21914.

MLA Handbook (7^th Edition):

Wang, Peixin. “Application of stochastic differential equations to option pricing.” 2016. Web. 18 Jan 2021.

Vancouver:

Wang P. Application of stochastic differential equations to option pricing. [Internet] [Masters thesis]. University of Kansas; 2016. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/1808/21914.

Council of Science Editors:

Wang P. Application of stochastic differential equations to option pricing. [Masters Thesis]. University of Kansas; 2016. Available from: http://hdl.handle.net/1808/21914

6. Pang, Weijie. In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives.

Degree: PhD, 2019, Worcester Polytechnic Institute

URL: etd-042319-143631 ; https://digitalcommons.wpi.edu/etd-dissertations/519

► Before the 2008 financial crisis, most research in financial mathematics focused on the risk management and the pricing of options without considering effects of… (more)

▼ Before the 2008 financial crisis, most research in financial mathematics focused on the risk management and the pricing of options without considering effects of counterparties’ default, illiquidity problems, systemic risk and the role of the repurchase agreement (Repo). During the 2008 financial crisis, a frozen Repo market led to a shutdown of short sales in the stock market. Cyclical interdependencies among financial corporations caused that a default of one firm seriously affected other firms and even the whole financial network. In this dissertation, we will consider financial markets which are shaped by financial crisis. This will be done from two distinct perspectives, an investor’s and a regulator’s. From an investor’s perspective, recently models were proposed to compute the total valuation adjustment (XVA) of derivatives without considering a potential crisis in the market. In our research, we include a possible crisis by apply an alternating renewal process to describe a switching between a normal financial status and a financial crisis status. We develop a framework for pricing the XVA of a European claim in this state-dependent framework. We represent the price as a solution to a backward stochastic differential equation and prove the existence and uniqueness of the solution. To study financial networks from a regulator’s perspective, one popular method is the fixed point based approach by L. Eisenberg and T. Noe. However, in practice, there is no accurate record of the interbank liabilities and thus one has to estimate them to use Eisenberg - Noe type models. In our research, we conduct a sensitivity analysis of the Eisenberg - Noe framework, and quantify the effect of the estimation errors to the clearing payments. We show that the effect of the missing specification of interbank connection to clearing payments can be described via directional derivatives that can be represented as solutions of fixed point equations. We also compute the probability of observing clearing payment deviations of a certain magnitude. Advisors/Committee Members: Gu Wang, Committee Member, Randy Paffenroth, Committee Member, Igor Cialenco, Committee Member, Agostino Capponi, Committee Member, Stephan Sturm, Advisor.

Subjects/Keywords: arbitrage pricing; backward stochastic differential equations; contagion; Eisenbergâ€“Noe clearing vector; financial crisis; interbank networks; option pricing; sensitivity analysis; systemic risk; value adjustments

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Pang, W. (2019). In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives. (Doctoral Dissertation). Worcester Polytechnic Institute. Retrieved from etd-042319-143631 ; https://digitalcommons.wpi.edu/etd-dissertations/519

Chicago Manual of Style (16^th Edition):

Pang, Weijie. “In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives.” 2019. Doctoral Dissertation, Worcester Polytechnic Institute. Accessed January 18, 2021. etd-042319-143631 ; https://digitalcommons.wpi.edu/etd-dissertations/519.

MLA Handbook (7^th Edition):

Pang, Weijie. “In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives.” 2019. Web. 18 Jan 2021.

Vancouver:

Pang W. In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives. [Internet] [Doctoral dissertation]. Worcester Polytechnic Institute; 2019. [cited 2021 Jan 18]. Available from: etd-042319-143631 ; https://digitalcommons.wpi.edu/etd-dissertations/519.

Council of Science Editors:

Pang W. In the Wake of the Financial Crisis - Regulators’ and Investors’ Perspectives. [Doctoral Dissertation]. Worcester Polytechnic Institute; 2019. Available from: etd-042319-143631 ; https://digitalcommons.wpi.edu/etd-dissertations/519

Penn State University

7. Kwon, Changhyun. Dynamic Pricing, Competition and Uncertainty .

Degree: 2008, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/8913

► In this thesis, we study various dynamic pricing problems in the form of infinite-dimensional mathematical programming, i.e., optimal control problems and differential variational inequalities (DVIs),… (more)

Subjects/Keywords: differential games; robust optimal control; dynamic pricing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Kwon, C. (2008). Dynamic Pricing, Competition and Uncertainty . (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/8913

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kwon, Changhyun. “Dynamic Pricing, Competition and Uncertainty .” 2008. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/8913.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kwon, Changhyun. “Dynamic Pricing, Competition and Uncertainty .” 2008. Web. 18 Jan 2021.

Vancouver:

Kwon C. Dynamic Pricing, Competition and Uncertainty . [Internet] [Thesis]. Penn State University; 2008. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/8913.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kwon C. Dynamic Pricing, Competition and Uncertainty . [Thesis]. Penn State University; 2008. Available from: https://submit-etda.libraries.psu.edu/catalog/8913

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

8. Wei, Deling. Models of Noncooperative Games.

Degree: 2013, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/19866

► This thesis is divided into three parts. In the first part, motivated by Stackelberg differential games, we consider a ``nonclassical" control system where the dynamics… (more)

Subjects/Keywords: differential game; Nash or Stackelberg equilibrium feedback solution; optimal pricing strategy; bidding game; limit order book

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APA (6^th Edition):

Wei, D. (2013). Models of Noncooperative Games. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/19866

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Wei, Deling. “Models of Noncooperative Games.” 2013. Thesis, Penn State University. Accessed January 18, 2021. https://submit-etda.libraries.psu.edu/catalog/19866.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Wei, Deling. “Models of Noncooperative Games.” 2013. Web. 18 Jan 2021.

Vancouver:

Wei D. Models of Noncooperative Games. [Internet] [Thesis]. Penn State University; 2013. [cited 2021 Jan 18]. Available from: https://submit-etda.libraries.psu.edu/catalog/19866.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wei D. Models of Noncooperative Games. [Thesis]. Penn State University; 2013. Available from: https://submit-etda.libraries.psu.edu/catalog/19866

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

York University

9. Sorokin, Yegor. Pricing and Hedging Options in Discrete Time with Liquidity Risk.

Degree: PhD, Mathematics & Statistics, 2015, York University

URL: http://hdl.handle.net/10315/28230

► Different derivative securities, including European options, are very popular and widely used in forms of exchange-traded instruments or over-the-counter products. For practical purposes the European… (more)

▼ Different derivative securities, including European options, are very popular and widely used in forms of exchange-traded instruments or over-the-counter products. For practical purposes the European options are often priced using analytic solution to the Black-Scholes formula. Hedging, according to the Black-Scholes model, is accomplished via the construction of dynamically rebalanced replicating portfolio. However, the model makes several critical assumptions. I extend the Black-Scholes model by relaxing the assumption of no trading costs and considering the market liquidity risk for the underlying asset. Liquidity risk is understood as the effect of the trade size on the price of the underlying asset. I use stochastic supply curve to model liquidity risk. The problem is to hedge a European option in the presence of the market liquidity risk for an underlying asset. One hedges with the underlying, as the option price depends on the price of the underlying asset. The underlying asset has market liquidity risk; thus, studying the impact of market liquidity risk is important for devising more effective and efficient option hedging algorithms. The main contributions of the thesis arise from the investigation of mathematical techniques for hedging and pricing of European options in discrete time with liquidity risk. First, I study delta hedging in Chapter 3. I show L2 convergence of the replicating trading strategy payoff to the option payoff. In other words, the optimal strategy minimizes the mean squared replication error. I also show that for European put and call options with varying trading times the recommendation is to trade closer to expiry as the spot price of the underlying asset deviates from the strike price. Then I apply the local risk-minimizing hedge in Chapter 4. This time the optimal strategy minimizes the conditional mean squared hedging error. I prove the existence of the local risk-minimizing trading strategy and characterize its structure. Advisors/Committee Members: Ku, Hyejin (advisor).

Subjects/Keywords: Applied mathematics; Partial differential equation; Liquidity risk; Option hedging; Option pricing; Mathematical finance; Local risk-minimization; Delta hedging; Martingale

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Sorokin, Y. (2015). Pricing and Hedging Options in Discrete Time with Liquidity Risk. (Doctoral Dissertation). York University. Retrieved from http://hdl.handle.net/10315/28230

Chicago Manual of Style (16^th Edition):

Sorokin, Yegor. “Pricing and Hedging Options in Discrete Time with Liquidity Risk.” 2015. Doctoral Dissertation, York University. Accessed January 18, 2021. http://hdl.handle.net/10315/28230.

MLA Handbook (7^th Edition):

Sorokin, Yegor. “Pricing and Hedging Options in Discrete Time with Liquidity Risk.” 2015. Web. 18 Jan 2021.

Vancouver:

Sorokin Y. Pricing and Hedging Options in Discrete Time with Liquidity Risk. [Internet] [Doctoral dissertation]. York University; 2015. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10315/28230.

Council of Science Editors:

Sorokin Y. Pricing and Hedging Options in Discrete Time with Liquidity Risk. [Doctoral Dissertation]. York University; 2015. Available from: http://hdl.handle.net/10315/28230

University of Technology, Sydney

10. Li, K. Asset price dynamics with heterogeneous beliefs and time delays.

Degree: 2014, University of Technology, Sydney

URL: http://hdl.handle.net/10453/28055

► With growing populations, the size of economies, and technological innovations, financial markets are increasingly becoming larger, more diverse, complicated, and volatile. Shocks from one market… (more)

▼ With growing populations, the size of economies, and technological innovations, financial markets are increasingly becoming larger, more diverse, complicated, and volatile. Shocks from one market can propagate very quickly to other markets, as we saw with the global financial crisis (GFC) and the ongoing spill-over effects of the European sovereign debt crisis. These changes have had a profound impact on investor behavior and financial market and pose a great challenge to traditional asset pricing theory based on rational expectations and the representative agent paradigm. Over the last three decades, empirical evidence, unconvincing justification of the assumption of unbounded rationality, and investor psychology have led to the incorporation of heterogeneity and bounded rationality into asset pricing and financial market modelling. This thesis contributes to the development of this literature by modelling boundedly rational behaviors, including trend chasing, herding, and adaptive switching, and examining their impact on various types of market behaviors such as price deviations from the fundamental values, excess volatility, and spill-over effect, which are then explored to explain momentum and reversal effects, two of the most challenging anomalies to finance theory in financial markets. This thesis has four main contributions. (i) Different from the discrete-time heterogeneous agent models developed in the literature, the thesis provides a unified approach in a continuous-time framework to study the effect of trend chasing based on historical price information and explore different mechanisms and impact of trend chasing, herding and switching on various market behaviors (such as market booms and crashes, long deviations of the market price from the fundamental price), the stylized facts (such as skewness, kurtosis, excess volatility, volatility clustering and fat tails of returns), and the long range dependence in return volatility, which are widely observed in financial markets. This is the focus of Chapters 2 and 3. (ii) It provides market conditions on the momentum profitability, which underlies the time series and cross-sectional momentum effects well documented in empirical literature. This is the focus of Chapter 4. (iii) By applying the latest mathematical theory on the maximum principle for control problem of stochastic delay differential equations (SDDEs) to a geometrical Brownian motion of asset pricing with momentum and mean-reverting effects, Chapter 5 provides an optimal investment strategy that can outperform not only the pure momentum strategy and pure mean reversion strategy, but also the stock market index. (iv) It develops an evolutionary CAPM and shows that rational switching behavior can destabilize the market and generate a spill-over effect, which is associated with high trading volumes characterized by significantly decaying autocorrelations of, and positive correlation between, price volatility and trading volume. This is the focus of Chapter 6. Overall, this thesis shows that asset…

Subjects/Keywords: Heterogeneous beliefs.; Bounded rationality.; Market stability.; Portfolio choice.; Stochastic delay differential equations.; Capital assets.; Spillover effect.; Pricing.

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Li, K. (2014). Asset price dynamics with heterogeneous beliefs and time delays. (Thesis). University of Technology, Sydney. Retrieved from http://hdl.handle.net/10453/28055

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Li, K. “Asset price dynamics with heterogeneous beliefs and time delays.” 2014. Thesis, University of Technology, Sydney. Accessed January 18, 2021. http://hdl.handle.net/10453/28055.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Li, K. “Asset price dynamics with heterogeneous beliefs and time delays.” 2014. Web. 18 Jan 2021.

Vancouver:

Li K. Asset price dynamics with heterogeneous beliefs and time delays. [Internet] [Thesis]. University of Technology, Sydney; 2014. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10453/28055.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li K. Asset price dynamics with heterogeneous beliefs and time delays. [Thesis]. University of Technology, Sydney; 2014. Available from: http://hdl.handle.net/10453/28055

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

11. Holbeck, Michael. Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition.

Degree: PhD, Sociology and Rural Studies, 2017, South Dakota State University

URL: https://openprairie.sdstate.edu/etd/1192

► Public higher education in the United States has seen many changes since the Morrill Act of 1862. Specifically, the funding of higher education has… (more)

Subjects/Keywords: differential tuition; higher education funding; higher education pricing; state support of higher education; Educational Sociology; Education Economics

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APA (6^th Edition):

Holbeck, M. (2017). Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition. (Doctoral Dissertation). South Dakota State University. Retrieved from https://openprairie.sdstate.edu/etd/1192

Chicago Manual of Style (16^th Edition):

Holbeck, Michael. “Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition.” 2017. Doctoral Dissertation, South Dakota State University. Accessed January 18, 2021. https://openprairie.sdstate.edu/etd/1192.

MLA Handbook (7^th Edition):

Holbeck, Michael. “Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition.” 2017. Web. 18 Jan 2021.

Vancouver:

Holbeck M. Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition. [Internet] [Doctoral dissertation]. South Dakota State University; 2017. [cited 2021 Jan 18]. Available from: https://openprairie.sdstate.edu/etd/1192.

Council of Science Editors:

Holbeck M. Funding of Higher Education: Variations in State Funding, Impacts of State Funding on Differential Tuition, and Variables Impacting Differential Tuition. [Doctoral Dissertation]. South Dakota State University; 2017. Available from: https://openprairie.sdstate.edu/etd/1192

University of Oxford

12. Schwarz, Daniel Christopher. Price modelling and asset valuation in carbon emission and electricity markets.

Degree: PhD, 2012, University of Oxford

URL: http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.655012

► This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the… (more)

Subjects/Keywords: 333.793; Mathematics; Mathematical finance; Probability theory and stochastic processes; Derivative Pricing; Emission Market; Electricity; Forward-Backward Stochastic Differential Equation; Non-linear Partial Differential Equation; Commodity Market

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APA (6^th Edition):

Schwarz, D. C. (2012). Price modelling and asset valuation in carbon emission and electricity markets. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.655012

Chicago Manual of Style (16^th Edition):

Schwarz, Daniel Christopher. “Price modelling and asset valuation in carbon emission and electricity markets.” 2012. Doctoral Dissertation, University of Oxford. Accessed January 18, 2021. http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.655012.

MLA Handbook (7^th Edition):

Schwarz, Daniel Christopher. “Price modelling and asset valuation in carbon emission and electricity markets.” 2012. Web. 18 Jan 2021.

Vancouver:

Schwarz DC. Price modelling and asset valuation in carbon emission and electricity markets. [Internet] [Doctoral dissertation]. University of Oxford; 2012. [cited 2021 Jan 18]. Available from: http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.655012.

Council of Science Editors:

Schwarz DC. Price modelling and asset valuation in carbon emission and electricity markets. [Doctoral Dissertation]. University of Oxford; 2012. Available from: http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.655012

North Carolina State University

13. Wan, Wei. Dynamic Game Theoretic Models in Marketing and Finance.

Degree: PhD, Operations Research, 2008, North Carolina State University

URL: http://www.lib.ncsu.edu/resolver/1840.16/5820

Subjects/Keywords: Marketing Competition; Numerical Solution; Boundary Value Problem; Differential Game; Pricing Option; Leader-Follower Differential Game; Cooperative Differential Game; Evolutionary Computation; Stochastic Differential Game

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APA (6^th Edition):

Wan, W. (2008). Dynamic Game Theoretic Models in Marketing and Finance. (Doctoral Dissertation). North Carolina State University. Retrieved from http://www.lib.ncsu.edu/resolver/1840.16/5820

Chicago Manual of Style (16^th Edition):

Wan, Wei. “Dynamic Game Theoretic Models in Marketing and Finance.” 2008. Doctoral Dissertation, North Carolina State University. Accessed January 18, 2021. http://www.lib.ncsu.edu/resolver/1840.16/5820.

MLA Handbook (7^th Edition):

Wan, Wei. “Dynamic Game Theoretic Models in Marketing and Finance.” 2008. Web. 18 Jan 2021.

Vancouver:

Wan W. Dynamic Game Theoretic Models in Marketing and Finance. [Internet] [Doctoral dissertation]. North Carolina State University; 2008. [cited 2021 Jan 18]. Available from: http://www.lib.ncsu.edu/resolver/1840.16/5820.

Council of Science Editors:

Wan W. Dynamic Game Theoretic Models in Marketing and Finance. [Doctoral Dissertation]. North Carolina State University; 2008. Available from: http://www.lib.ncsu.edu/resolver/1840.16/5820

University of Waterloo

14. Clift, Simon Sivyer. Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models.

Degree: 2007, University of Waterloo

URL: http://hdl.handle.net/10012/3385

► The evolution of the price of two financial assets may be modeled by correlated geometric Brownian motion with additional, independent, finite activity jumps. Similarly, the… (more)

▼ The evolution of the price of two financial assets may be modeled by correlated geometric Brownian motion with additional, independent, finite activity jumps. Similarly, the evolution of the price of one financial asset may be modeled by a stochastic volatility process and finite activity jumps. The value of a contingent claim, written on assets where the underlying evolves by either of these two-factor processes, is given by the solution of a linear, two-dimensional, parabolic, partial integro-differential equation (PIDE). The focus of this thesis is the development of new, efficient numerical solution approaches for these PIDE's for both linear and non-linear cases. A localization scheme approximates the initial-value problem on an infinite spatial domain by an initial-boundary value problem on a finite spatial domain. Convergence of the localization method is proved using a Green's function approach. An implicit, finite difference method discretizes the PIDE. The theoretical conditions for the stability of the discrete approximation are examined under both maximum and von Neumann analysis. Three linearly convergent, monotone variants of the approach are reviewed for the constant coefficient, two-asset case and reformulated for the non-constant coefficient, stochastic volatility case. Each monotone scheme satisfies the conditions which imply convergence to the viscosity solution of the localized PIDE. A fixed point iteration solves the discrete, algebraic equations at each time step. This iteration avoids solving a dense linear system through the use of a lagged integral evaluation. Dense matrix-vector multiplication is avoided by using an FFT method. By using Green's function analysis, von Neumann analysis and maximum analysis, the fixed point iteration is shown to be rapidly convergent under typical market parameters. Combined with a penalty iteration, the value of options with an American early exercise feature may be computed. The rapid convergence of the iteration is verified in numerical tests using European and American options with vanilla payoffs, and digital, one-touch option payoffs. These tests indicate that the localization method for the PIDE's is effective. Adaptations are developed for degenerate or extreme parameter sets. The three monotone approaches are compared by computational cost and resulting error. For the stochastic volatility case, grid rotation is found to be the preferred approach. Finally, a new algorithm is developed for the solution of option values in the non-linear case of a two-factor option where the jump parameters are known only to within a deterministic range. This case results in a Hamilton-Jacobi-Bellman style PIDE. A monotone discretization is used and a new fixed point, policy iteration developed for time step solution. Analysis proves that the new iteration is globally convergent under a mild time step restriction. Numerical tests demonstrate the overall convergence of the method and investigate the financial implications of uncertain parameters on the option…

Subjects/Keywords: financial option pricing; jump diffusion; multi-factor; partial integro-differential equation; monotone method

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APA (6^th Edition):

Clift, S. S. (2007). Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/3385

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Clift, Simon Sivyer. “Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models.” 2007. Thesis, University of Waterloo. Accessed January 18, 2021. http://hdl.handle.net/10012/3385.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Clift, Simon Sivyer. “Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models.” 2007. Web. 18 Jan 2021.

Vancouver:

Clift SS. Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models. [Internet] [Thesis]. University of Waterloo; 2007. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10012/3385.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Clift SS. Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models. [Thesis]. University of Waterloo; 2007. Available from: http://hdl.handle.net/10012/3385

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of the Western Cape

15. Nuugulu, Samuel Megameno. Fractional Black-Scholes equations and their robust numerical simulations .

Degree: 2020, University of the Western Cape

URL: http://hdl.handle.net/11394/7217

► Conventional partial differential equations under the classical Black-Scholes approach have been extensively explored over the past few decades in solving option pricing problems. However, the… (more)

Subjects/Keywords: Computational Finance; Option Pricing; Fractal Market Hypothesis; Fractional Black-Scholes Partial Differential Equations; Front-Fixing Transformations; Free Boundary Problems; Convergence and Stability Analysis

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APA (6^th Edition):

Nuugulu, S. M. (2020). Fractional Black-Scholes equations and their robust numerical simulations . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/7217

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Nuugulu, Samuel Megameno. “Fractional Black-Scholes equations and their robust numerical simulations .” 2020. Thesis, University of the Western Cape. Accessed January 18, 2021. http://hdl.handle.net/11394/7217.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Nuugulu, Samuel Megameno. “Fractional Black-Scholes equations and their robust numerical simulations .” 2020. Web. 18 Jan 2021.

Vancouver:

Nuugulu SM. Fractional Black-Scholes equations and their robust numerical simulations . [Internet] [Thesis]. University of the Western Cape; 2020. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/11394/7217.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Nuugulu SM. Fractional Black-Scholes equations and their robust numerical simulations . [Thesis]. University of the Western Cape; 2020. Available from: http://hdl.handle.net/11394/7217

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

16. Sukhatme, Neel. Essays in Law and Economics .

Degree: PhD, 2015, Princeton University

URL: http://arks.princeton.edu/ark:/88435/dsp01ks65hf534

► This collection of essays applies empirical techniques from economics to questions in law, with a focus on innovation and litigation. A common theme among these… (more)

▼ This collection of essays applies empirical techniques from economics to questions in law, with a focus on innovation and litigation. A common theme among these articles is that empirical analysis can be used to measure and predict how legal actors respond to economic incentives. Chapter 1 explores an understudied question in patents: what is the relative importance of patent term (i.e., duration of patent protection) across different industries? This article (co-authored with fellow Princeton Ph.D. candidate, Judd Cramer) measures term sensitivity through patent applicants¿ response to the passage of the TRIPS agreement, which changed how term was calculated. We find significant differences in term sensitivity across industries, some of which follows conventional wisdom (patent term is important in pharmaceuticals) and some of which does not (it also matters for software). Our measure is highly correlated with patent renewal rates across industries. This corroborates an intuitive prediction that we formalize in a model: industries that place a greater value on patent term tend to have higher expected profits toward the end of term. Chapter 2 applies these empirical results in a policy context. This law review piece explains how the U.S. Patent and Trademark Office could increase its revenues and promote innovation by charging different patent ¿prices¿ for inventions in different industries. Such pricing could also be used to tailor effective patent term across industries, an emergent goal for many legal scholars. Chapter 3 turns to diversity jurisdiction cases, a prominent form of federal litigation. I develop a general model of forum shopping and empirically corroborate one of its testable predictions: parties (particularly corporations) who litigate outside of their home state settle cases more often than parties who litigate at home. My results are robust under a variety of specifications, including ones with fixed effects for plaintiff home state, years of suit filing and termination, forum, and case type. Advisors/Committee Members: Ashenfelter, Orley C (advisor), Farber, Henry S (advisor).

Subjects/Keywords: differential pricing; forum shopping; innovation; law and economics; litigation; patent

…Monopoly and Dierential Pricing in the Market for Patents . . . . . 65 2.1 Introduction… …65 2.2 Regulatory Monopolies and Dierential Pricing . . . . . . . . . . . . . . . . 71… …Dierential Pricing . . . . . . . . . . . . . . . . . . 76 2.2.3.1 Prerequisites for Dierential… …Pricing . . . . . . . . . . . . . 77 2.2.3.2 Varieties of Dierential Pricing… …81 2.2.4 2.3 Dierential Pricing in Regulatory Monopolies . . . . . . . . . . . . . 83…

10 more images…

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APA (6^th Edition):

Sukhatme, N. (2015). Essays in Law and Economics . (Doctoral Dissertation). Princeton University. Retrieved from http://arks.princeton.edu/ark:/88435/dsp01ks65hf534

Chicago Manual of Style (16^th Edition):

Sukhatme, Neel. “Essays in Law and Economics .” 2015. Doctoral Dissertation, Princeton University. Accessed January 18, 2021. http://arks.princeton.edu/ark:/88435/dsp01ks65hf534.

MLA Handbook (7^th Edition):

Sukhatme, Neel. “Essays in Law and Economics .” 2015. Web. 18 Jan 2021.

Vancouver:

Sukhatme N. Essays in Law and Economics . [Internet] [Doctoral dissertation]. Princeton University; 2015. [cited 2021 Jan 18]. Available from: http://arks.princeton.edu/ark:/88435/dsp01ks65hf534.

Council of Science Editors:

Sukhatme N. Essays in Law and Economics . [Doctoral Dissertation]. Princeton University; 2015. Available from: http://arks.princeton.edu/ark:/88435/dsp01ks65hf534

17. Kim, Dongshin. REITs: Dual Asset Markets and “Arbitrage”.

Degree: PhD, Real Estate, 2016, Georgia State University

URL: https://scholarworks.gsu.edu/real_estate_diss/16

► Dual asset markets are unique to real estate. When the assets are held by a real estate investment trust (REIT), properties trade in property… (more)

Subjects/Keywords: REIT; NAV; Premium to NAV; Inter-market arbitrage; Pricing differential

…14 2.2 Inter-market Pricing Differential… …commercial real estate transactions are inherently risky. The pricing differential is only an… …1 shows that the pricing differential is persistent for long periods of time before… …pricing differential across the dual asset markets. REITs represent a nontrivial component of… …REIT managers attempt to exploit the inter-market pricing differential in the property market…

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APA (6^th Edition):

Kim, D. (2016). REITs: Dual Asset Markets and “Arbitrage”. (Doctoral Dissertation). Georgia State University. Retrieved from https://scholarworks.gsu.edu/real_estate_diss/16

Chicago Manual of Style (16^th Edition):

Kim, Dongshin. “REITs: Dual Asset Markets and “Arbitrage”.” 2016. Doctoral Dissertation, Georgia State University. Accessed January 18, 2021. https://scholarworks.gsu.edu/real_estate_diss/16.

MLA Handbook (7^th Edition):

Kim, Dongshin. “REITs: Dual Asset Markets and “Arbitrage”.” 2016. Web. 18 Jan 2021.

Vancouver:

Kim D. REITs: Dual Asset Markets and “Arbitrage”. [Internet] [Doctoral dissertation]. Georgia State University; 2016. [cited 2021 Jan 18]. Available from: https://scholarworks.gsu.edu/real_estate_diss/16.

Council of Science Editors:

Kim D. REITs: Dual Asset Markets and “Arbitrage”. [Doctoral Dissertation]. Georgia State University; 2016. Available from: https://scholarworks.gsu.edu/real_estate_diss/16

18. Baptiste, Julien. Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies.

Degree: Docteur es, Mathématiques, 2018, Paris Sciences et Lettres (ComUE)

URL: http://www.theses.fr/2018PSLED009

►

Le but de cette thèse CIFRE est de construire un portefeuille de stratégies de trading algorithmique intraday. Au lieu de considérer les prix comme une… (more)

Subjects/Keywords: Pricing; Modèles de marchés financiers; Coûts de transaction; Stratégies de trading; Options européennes; Apprentissage automatique; Apprentissage supervisé; Conditions de non-arbitrage; Equations aux dérivées partielles; Modèle Binomial; Prix de sur-réplication; Trading algorithmique; Pricing; Financial market models; European options; Algorithmic Trading; Binomial tree model; Diffusion partial differential equations; Machine learning; No-arbitrage condition; Option pricing; Super-hedging prices; Supervised learning; 519

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APA (6^th Edition):

Baptiste, J. (2018). Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies. (Doctoral Dissertation). Paris Sciences et Lettres (ComUE). Retrieved from http://www.theses.fr/2018PSLED009

Chicago Manual of Style (16^th Edition):

Baptiste, Julien. “Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies.” 2018. Doctoral Dissertation, Paris Sciences et Lettres (ComUE). Accessed January 18, 2021. http://www.theses.fr/2018PSLED009.

MLA Handbook (7^th Edition):

Baptiste, Julien. “Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies.” 2018. Web. 18 Jan 2021.

Vancouver:

Baptiste J. Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies. [Internet] [Doctoral dissertation]. Paris Sciences et Lettres (ComUE); 2018. [cited 2021 Jan 18]. Available from: http://www.theses.fr/2018PSLED009.

Council of Science Editors:

Baptiste J. Problèmes numériques en mathématiques financières et en stratégies de trading : Numerical problems in financial mathematics and trading strategies. [Doctoral Dissertation]. Paris Sciences et Lettres (ComUE); 2018. Available from: http://www.theses.fr/2018PSLED009

19. 柏原, 聡. Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing.

Degree: 博士（経営）, Hitotsubashi University / 一橋大学

URL: http://hdl.handle.net/10086/22861

Subjects/Keywords: Backward Stochastic Differential Equation; Jump-diffusion process; Stochastic Differential Utility; Utility maximization; Utility Indifference pricing

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APA (6^th Edition):

柏原, �. (n.d.). Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing. (Thesis). Hitotsubashi University / 一橋大学. Retrieved from http://hdl.handle.net/10086/22861

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

柏原, 聡. “Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing.” Thesis, Hitotsubashi University / 一橋大学. Accessed January 18, 2021. http://hdl.handle.net/10086/22861.

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

柏原, 聡. “Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing.” Web. 18 Jan 2021.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Vancouver:

柏原 �. Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing. [Internet] [Thesis]. Hitotsubashi University / 一橋大学; [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10086/22861.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

Council of Science Editors:

柏原 �. Some Financial Applications of Backward Stochastic Differential Equations with jump : Utility, Investment, and Pricing. [Thesis]. Hitotsubashi University / 一橋大学; Available from: http://hdl.handle.net/10086/22861

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

University of Waterloo

20. Ulku, M. Ali. ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN.

Degree: 2009, University of Waterloo

URL: http://hdl.handle.net/10012/4562

► Shipment Consolidation (SCL) is a logistics strategy that combines two or more orders or shipments so that a larger quantity can be dispatched on the… (more)

▼ Shipment Consolidation (SCL) is a logistics strategy that combines two or more orders or shipments so that a larger quantity can be dispatched on the same vehicle to the same market region. This dissertation aims to emphasize the importance and substantial cost saving opportunities that come with SCL in a logistics supply chain, by offering new models or by improving on the current body of literature. Our research revolves around "three main axes" in SCL: Single-Item Shipment Consolidation (SISCL), Multi-Item Shipment Consolidation (MISCL), and Pricing and Shipment Consolidation. We investigate those topics by employing various Operations Research concepts or techniques such as renewal theory, dynamic optimization, and simulation. In SISCL, we focus on analytical models, when the orders arrive randomly. First, we examine the conditions under which an SCL program enables positive savings. Then, in addition to the current SCL policies used in practice and studied in the literature, i.e. Quantity-Policy (Q-P), Time-Policy (T-P) and Hybrid Policy (H-P), we introduce a new one that we call the Controlled Dispatch Policy (CD-P). Moreover, we provide a cost-based comparison of those policies. We show that the Q-P yields the lowest cost per order amongst the others, yet with the highest randomness in dispatch times. On the other hand, we also show that, between the service-level dependent policies (i.e. the CD-P, H-P and T-P), H-P provides the lowest cost per order, while CD-P turns out to be more flexible and responsive to dispatch times, again with a lower cost than the T-P. In MISCL, we construct dispatch decision rules. We employ a myopic analysis, and show that it is optimal, when costs and the order-arrival processes are dependent on the type of items. In a dynamic setting, we apply the concept of time-varying probability to integrate the dispatching and load planning decisions. For the most common dispatch objectives such as cost per order, cost per unit time or cost per unit weight, we use simulation and observe that the variabilities in both cost and the optimal consolidation cycle are smaller for the objective of cost per unit weight. Finally on our third axis, we study the joint optimization of pricing and time-based SCL policy. We do this for a price- and time-sensitive logistics market, both for common carriage (transport by a public, for-hire trucking company) and private carriage (employing one's own fleet of trucks). The main motivation for introducing pricing in SCL decisions stems from the fact that transportation is a service, and naturally demand is affected by price. Suitable pricing decisions may influence the order-arrival rates, enabling extra savings. Those savings emanate from two sources: Scale economies (in private carriage) or discount economies (in common carriage) that come with SCL, and additional revenue generated by employing an appropriate pricing scheme. Throughout the dissertation, we offer numerical examples and as many managerial insights as possible.…

Subjects/Keywords: controlled dispatch policy; multi-item freight consolidation; differential pricing; uniform pricing; dynamic optimization; myopic optimality; stochastic process; third party logistics; discount economies; common vs. private carriage

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APA (6^th Edition):

Ulku, M. A. (2009). ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/4562

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ulku, M Ali. “ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN.” 2009. Thesis, University of Waterloo. Accessed January 18, 2021. http://hdl.handle.net/10012/4562.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ulku, M Ali. “ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN.” 2009. Web. 18 Jan 2021.

Vancouver:

Ulku MA. ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN. [Internet] [Thesis]. University of Waterloo; 2009. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10012/4562.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ulku MA. ANALYSIS OF SHIPMENT CONSOLIDATION IN THE LOGISTICS SUPPLY CHAIN. [Thesis]. University of Waterloo; 2009. Available from: http://hdl.handle.net/10012/4562

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

21. Kumar, Nitesh. Modeling Dependence in Data: Options Pricing and Random Walks.

Degree: Applied Mathematics, 2013, University of California – Merced

URL: http://www.escholarship.org/uc/item/5h73b898

► In this thesis, we propose the Markov tree option pricing model and subject it to large-scale empirical tests against market options and equity data to… (more)

▼ In this thesis, we propose the Markov tree option pricing model and subject it to large-scale empirical tests against market options and equity data to quantify its pricing and hedging performances.We begin by proposing a tree model that explicitly accounts for the dependence observed in the log-returns of underlying asset prices. The dynamics of the Markov tree model is explained together with implementation notes that enable exact calculation of the probability mass function of the Markov tree process. We also show that the tree model operates in the framework of arbitrage free option pricing.Next, we show how the discrete Markov tree process can be viewed as a generalized persistent random walk and demonstrate how to approximate it by a mixture of two normals. This derivation enables us to obtain a closed form pricing formula for the European call option allowing for faster calibration using market option data. We then empirically test both the pricing as well as the hedging performance of the Markov tree model against the Black-Scholes and the Heston's stochastic volatility models establishing its superior hedging performance. Additionally, we also analyze different regression based techniques to estimate the parameters in the Markov tree model that obtain increasingly better hedging results. We also lay down statistical procedures to rigorously analyze the hedging performance of any option pricing model.We then generalize the Markov tree process and explore its relation with the generalized delayed random walk. In doing so, we develop a spectral method for computing the probability density function for delayed random walks; for such problems, the spectral method we propose is exact to machine precision and faster than existing methods. In conjunction with step function approximation and the weak Euler-Maruyama discretization, the spectral method can be applied to nonlinear stochastic delay differential equations. We carry out tests for a particular nonlinear SDDE that shows that this method captures the solution without the need for Monte Carlo sampling.

Subjects/Keywords: Applied mathematics; Statistics; Hedging; Markov Chain; Normal Mixture; Options Pricing; Random Walk; Stochastic Differential Equations

…v Modeling Dependence in Data: Options Pricing and Random Walks by Nitesh Kumar… …In this thesis, we propose the Markov tree option pricing model and subject it to large… …scale empirical tests against market options and equity data to quantify its pricing and… …the framework of arbitrage free option pricing. Next, we show how the discrete Markov tree… …it by a mixture of two normals. This derivation enables us to obtain a closed form pricing…

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APA (6^th Edition):

Kumar, N. (2013). Modeling Dependence in Data: Options Pricing and Random Walks. (Thesis). University of California – Merced. Retrieved from http://www.escholarship.org/uc/item/5h73b898

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Kumar, Nitesh. “Modeling Dependence in Data: Options Pricing and Random Walks.” 2013. Thesis, University of California – Merced. Accessed January 18, 2021. http://www.escholarship.org/uc/item/5h73b898.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Kumar, Nitesh. “Modeling Dependence in Data: Options Pricing and Random Walks.” 2013. Web. 18 Jan 2021.

Vancouver:

Kumar N. Modeling Dependence in Data: Options Pricing and Random Walks. [Internet] [Thesis]. University of California – Merced; 2013. [cited 2021 Jan 18]. Available from: http://www.escholarship.org/uc/item/5h73b898.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kumar N. Modeling Dependence in Data: Options Pricing and Random Walks. [Thesis]. University of California – Merced; 2013. Available from: http://www.escholarship.org/uc/item/5h73b898

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Indian Institute of Science

22. Mazumdar, Chandra Sen. Seat Allocation And Pricing in a Duopoly in The Airline Industry.

Degree: PhD, Faculty of Engineering, 2017, Indian Institute of Science

URL: http://etd.iisc.ac.in/handle/2005/2721

► Revenue Management (RM) is the practice of managing perishable assets by control-ling their availability and/or prices with an objective to maximize the total revenue. Seat… (more)

▼ Revenue Management (RM) is the practice of managing perishable assets by control-ling their availability and/or prices with an objective to maximize the total revenue. Seat inventory allocation falls in the purview of quantity-based RM. The liberalization of the aviation sector and the subsequent entrance of the low-cost carriers saw an ever-increasing customer base for the airline industry. Given the large number of buyers, firms were free to decide the price at which they would sell tickets. The low-cost carriers started to follow a third degree price discrimination and segmentation of the market, charging a higher price to the market with a relatively inelastic demand. Although a lot of work has been done in the area of seat inventory allocation under a monopolistic market scenario, we realized that not a lot of work had been done in a competitive market scenario. This thesis considers the problem of seat inventory allocation and pricing in a duopoly where each of the competing airlines have two fare-classes. We consider the possibility that the same fare-class may be priced differently by the two competing airlines and allow for the over flow of passengers between the airlines in the same fare-class. In the first part of our work, we develop a non-linear mathematical model for setting the booking limits for one of the two competing air-lines such that the revenue earned is maximized. We consider over flow of passengers from one airline to another in the same fare-class in response to a price differential and compare the results obtained from our model with the standard Expected Marginal Seat Revenue (EMSR) model under a monopolistic scenario. The results show that our model gives higher revenues than that obtained from the EMSR model. In the second part of our work, we consider a non-cooperative game between two competing airlines with price cutting as the strategy to increase their demand. Through numerical computations, we identify the pure strategy Nash equilibrium. From the results, we conclude that Nash equilibrium is achieved only when both the airlines follow the same pricing strategy indicating that individual price cutting will not be beneficial. This also indicates that unless the competitors enter into a cooperative coalition with each other, they would not benefit from deep discount offers. In the third and final part, we prove theoretically the existence of pure strategy Nash equilibrium in a two airline, two fare-class problem with price sensitive over flow of customers in the same fare-class that was computationally analysed earlier. The strategy / strategies at which Nash equilibrium is achieved are identified. We show that Nash equilibrium is only achieved when both the airlines price identically. Hence, our thesis concludes that differential pricing does not hold any significance for the competing airlines from an operational perspective. Advisors/Committee Members: Ramachandran, Parthasarathy (advisor).

Subjects/Keywords: Airline Revenue Management; Duopoly Markets; Airport Passenger Overflow Management; Differential Pricing; Nash Equilibrium; Airline Industry; Airlines Rates; Airlines; Expected Marginal Seat Revenue (EMSR) Model; Game Theoretic Models; Airline Duopoly; Airlines Price; Seat Allocation; Management

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APA (6^th Edition):

Mazumdar, C. S. (2017). Seat Allocation And Pricing in a Duopoly in The Airline Industry. (Doctoral Dissertation). Indian Institute of Science. Retrieved from http://etd.iisc.ac.in/handle/2005/2721

Chicago Manual of Style (16^th Edition):

Mazumdar, Chandra Sen. “Seat Allocation And Pricing in a Duopoly in The Airline Industry.” 2017. Doctoral Dissertation, Indian Institute of Science. Accessed January 18, 2021. http://etd.iisc.ac.in/handle/2005/2721.

MLA Handbook (7^th Edition):

Mazumdar, Chandra Sen. “Seat Allocation And Pricing in a Duopoly in The Airline Industry.” 2017. Web. 18 Jan 2021.

Vancouver:

Mazumdar CS. Seat Allocation And Pricing in a Duopoly in The Airline Industry. [Internet] [Doctoral dissertation]. Indian Institute of Science; 2017. [cited 2021 Jan 18]. Available from: http://etd.iisc.ac.in/handle/2005/2721.

Council of Science Editors:

Mazumdar CS. Seat Allocation And Pricing in a Duopoly in The Airline Industry. [Doctoral Dissertation]. Indian Institute of Science; 2017. Available from: http://etd.iisc.ac.in/handle/2005/2721

23. Naeem, Abid. Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan.

Degree: Technology and Society, 2010, University of Skövde

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-4229

► Problem: In bid to stay competitive in the industry, SMEs have to apply several formal marketing techniques which will help them edge past their… (more)

▼ Problem: In bid to stay competitive in the industry, SMEs have to apply several formal marketing techniques which will help them edge past their competitors regardless of the many operational challenges they are facing. Moreover, through the first questionnaire the authors realized that if the case company could appreciate the use of marketing techniques in the market, it would gain more market share hence realizing organic growth. However this entirely depends on the leadership and management teams which also have to be innovative in the market place which will eventually create value for the customers who tend to be loyal and as such purchase the service or product repeatedly. In addition, the management and leadership teams should seek cultural integration and talent which will enable the SMEs to achieve their vision hence survival in the business. Purpose: The issue under investigation during this research will be “the effect of differential pricing and promotion on the growth of SMEs which offer standardized services.” This research will add to the existing knowledge relevant to the SMEs in line with the marketing activities and growth. In addition, this research will help Snowhite Dry Cleaners in particular, to achieve growth if the managerial implications are put into consideration as highlighted in this thesis. For the authors, this thesis is a pre-requisite to the award of a masters‟ degree in marketing with a major in business administration once successfully completed. Method: An inductive approach has been used through out this thesis while we adopted a case study design. In order to fulfill the purpose of this thesis, three unstructured questionnaires were sent to the director of operations of the case company. Theories: The theoretical areas that were used in this thesis consisted of theories regarding; Competitive strategy, Pricing of services, Promotion of services, Services marketing management, Business growth, Marketing management etc Conclusions: The authors came to a conclusion that promotion strategies induce trial of product or service hence organic growth in the long-run. They also impact on customer choice of product or service and service provider which leads to increased demand hence organic growth. As well, value-adding promotions for services increase the demand and market share arising from less competitor activity due to fear of adverse price wars. In addition, promotions increase perceived customer value which results into repeated purchases of a product or service hence organic growth. However, value-increasing promotions are recommended for product firms otherwise they will have a negative impact on sales save for objectives like margin reduction or tarnishing the competitors‟ image. Notably, if value adding promotions are run for a long time, they risk becoming obsolete to the customers who seek value on a daily basis. In addition, differential pricing has no…

Subjects/Keywords: Differential pricing; Promotion; Competitive strategy; Services marketing management; Customer value; Business growth; Marketing management.; Business and economics; Ekonomi

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APA (6^th Edition):

Naeem, A. (2010). Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan. (Thesis). University of Skövde. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-4229

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Naeem, Abid. “Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan.” 2010. Thesis, University of Skövde. Accessed January 18, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-4229.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Naeem, Abid. “Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan.” 2010. Web. 18 Jan 2021.

Vancouver:

Naeem A. Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan. [Internet] [Thesis]. University of Skövde; 2010. [cited 2021 Jan 18]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-4229.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Naeem A. Differential pricing & promotion and their effect on growth of SMEs which offer standardized services : A Case Study of Snowhite Dry Cleaners Pakistan. [Thesis]. University of Skövde; 2010. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-4229

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

24. El-Fakharany, Mohamed Mostafa Refaat. Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing .

Degree: 2015, Universitat Politècnica de València

URL: http://hdl.handle.net/10251/53917

► [EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this… (more)

▼ [EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this trade. There are several attempts to obtain a suitable mathematical model in order to enhance the estimation process for evaluating the options for short or long periods. The Black-Scholes partial differential equation (PDE) and its analytical solution, 1973, are considered a breakthrough in the mathematical modeling for the stock markets. Because of the ideal assumptions of Black-Scholes several alternatives have been developed to adequate the models to the real markets. Two strategies have been done to capture these behaviors; the first modification is to add jumps into the asset following Lévy processes, leading to a partial integro-differential equation (PIDE); the second is to allow the volatility to evolve stochastically leading to a PDE with two spatial variables. Here in this work, we solve numerically PIDEs for a wide class of Lévy processes using finite difference schemes for European options and also, the associated linear complementarity problem (LCP) for American option. Moreover, the models for options under stochastic volatility incorporated with jump-diffusion are considered. Numerical analysis for the proposed schemes is studied since it is the efficient and practical way to guarantee the convergence and accuracy of numerical solutions. In fact, without numerical analysis, careless computations may waste good mathematical models. This thesis consists of four chapters; the first chapter is an introduction containing historically review for stochastic processes, Black-Scholes equation and preliminaries on numerical analysis. Chapter two is devoted to solve the PIDE for European option under CGMY process. The PIDE for this model is solved numerically using two distinct discretization approximations; the first approximation guarantees unconditionally consistency while the second approximation provides unconditional positivity and stability. In the first approximation, the differential part is approximated using the explicit scheme and the integral part is approximated using the trapezoidal rule. In the second approximation, the differential part is approximated using the Patankar-scheme and the integral part is approximated using the four-point open type formula. Chapter three provides a unified treatment for European and American options under a wide class of Lévy processes as CGMY, Meixner and Generalized Hyperbolic. First, the reaction and convection terms of the differential part of the PIDE are removed using appropriate mathematical transformation. The differential part for European case is explicitly discretized , while the integral part is approximated using Laguerre-Gauss quadrature formula. Numerical properties such as positivity, stability and consistency for this scheme are studied. For the American case, the differential part of the LCP is discretized using a three-time level approximation with the same integration technique. Next, the… Advisors/Committee Members: Company Rossi, Rafael (advisor), Jódar Sánchez, Lucas Antonio (advisor).

Subjects/Keywords: Option pricing; Lévy models; Partial integro-differential equations; Finite difference methods; Numerical analysis

…stable numerical solution of partial integro-differential option pricing problems”, Journal of… …partial integro-differential option pricing problems for a wide class of infinite activity L´evy… …Solution of Partial Integro-Differential Option Pricing Models with Cross Derivative term… …partial differential equation and it is solved analytically. Since that time the stock trade… …differential equation (PIDE) with two independent variables the underlying asset and time…

1 more image…

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

El-Fakharany, M. M. R. (2015). Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing . (Doctoral Dissertation). Universitat Politècnica de València. Retrieved from http://hdl.handle.net/10251/53917

Chicago Manual of Style (16^th Edition):

El-Fakharany, Mohamed Mostafa Refaat. “Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing .” 2015. Doctoral Dissertation, Universitat Politècnica de València. Accessed January 18, 2021. http://hdl.handle.net/10251/53917.

MLA Handbook (7^th Edition):

El-Fakharany, Mohamed Mostafa Refaat. “Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing .” 2015. Web. 18 Jan 2021.

Vancouver:

El-Fakharany MMR. Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing . [Internet] [Doctoral dissertation]. Universitat Politècnica de València; 2015. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10251/53917.

Council of Science Editors:

El-Fakharany MMR. Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing . [Doctoral Dissertation]. Universitat Politècnica de València; 2015. Available from: http://hdl.handle.net/10251/53917

University of Toronto

25. Surkov, Vladimir. Option Pricing using Fourier Space Time-stepping Framework.

Degree: 2009, University of Toronto

URL: http://hdl.handle.net/1807/19300

►

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets.… (more)

▼

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping (FST) framework developed in this thesis circumvents the problems associated with the existing finite difference methods by utilizing the Fourier transform to solve the PIDE. The FST framework-based methods are generic, highly efficient and rapidly convergent. The Fourier transform can be applied to the pricing PIDE to obtain a linear system of ordinary differential equations that can be solved explicitly. Solving the PIDE in Fourier space allows for the integral term to be handled efficiently and avoids the asymmetrical treatment of diffusion and integral terms, common in the finite difference schemes found in the literature. For path-independent options, prices can be obtained for a range of stock prices in one iteration of the algorithm. For exotic, path-dependent options, a time-stepping methodology is developed to handle barriers, free boundaries, and exercise policies. The thesis includes applications of the FST framework-based methods to a wide range of option pricing problems. Pricing of single- and multi-asset, European and path-dependent options under independent-increment exponential Levy stock price models, common in equity and insurance markets, can be done efficiently via the cornerstone FST method. Mean-reverting Levy spot price models, common in commodity markets, are handled by introducing a frequency transformation, which can be readily computed via scaling of the option value function. Generating stochastic volatility, to match the long-term equity options market data, and stochastic skew, observed in currency markets, is addressed by introducing a non-stationary extension of multi-dimensional Levy processes using regime-switching. Finally, codependent jumps in multi-asset models are introduced through copulas. The FST methods are computationally efficient, running in O(MN^d log_2 N) time with M time steps and N space points in each dimension on a d-dimensional grid. The methods achieve second-order convergence in space; for American options, a penalty method is used to attain second-order convergence in time. Furthermore, graphics processing units are utilized to further reduce the computational time of FST methods.

PhD

Advisors/Committee Members: Jackson, Kenneth, Jaimungal, Sebastian, Computer Science.

Subjects/Keywords: option pricing; Fourier Space Time-stepping; partial integro-differential equation; fast Fourier transform; 0984

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Surkov, V. (2009). Option Pricing using Fourier Space Time-stepping Framework. (Doctoral Dissertation). University of Toronto. Retrieved from http://hdl.handle.net/1807/19300

Chicago Manual of Style (16^th Edition):

Surkov, Vladimir. “Option Pricing using Fourier Space Time-stepping Framework.” 2009. Doctoral Dissertation, University of Toronto. Accessed January 18, 2021. http://hdl.handle.net/1807/19300.

MLA Handbook (7^th Edition):

Surkov, Vladimir. “Option Pricing using Fourier Space Time-stepping Framework.” 2009. Web. 18 Jan 2021.

Vancouver:

Surkov V. Option Pricing using Fourier Space Time-stepping Framework. [Internet] [Doctoral dissertation]. University of Toronto; 2009. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/1807/19300.

Council of Science Editors:

Surkov V. Option Pricing using Fourier Space Time-stepping Framework. [Doctoral Dissertation]. University of Toronto; 2009. Available from: http://hdl.handle.net/1807/19300

Georgia Tech

26. Zhu, Liyu. Discrete Brand Choice Models: Analysis and Applications.

Degree: PhD, Industrial and Systems Engineering, 2007, Georgia Tech

URL: http://hdl.handle.net/1853/16217

► In this thesis, we study brand choice problem via the following three perspectives: a company's market share management, introduction of customers with different perspectives, and… (more)

Subjects/Keywords: Dynamic pricing; Robust hierarchical logit/probit model; Stochastic differential-jump game; Brand choice; Probits; Logits

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APA (6^th Edition):

Zhu, L. (2007). Discrete Brand Choice Models: Analysis and Applications. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/16217

Chicago Manual of Style (16^th Edition):

Zhu, Liyu. “Discrete Brand Choice Models: Analysis and Applications.” 2007. Doctoral Dissertation, Georgia Tech. Accessed January 18, 2021. http://hdl.handle.net/1853/16217.

MLA Handbook (7^th Edition):

Zhu, Liyu. “Discrete Brand Choice Models: Analysis and Applications.” 2007. Web. 18 Jan 2021.

Vancouver:

Zhu L. Discrete Brand Choice Models: Analysis and Applications. [Internet] [Doctoral dissertation]. Georgia Tech; 2007. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/1853/16217.

Council of Science Editors:

Zhu L. Discrete Brand Choice Models: Analysis and Applications. [Doctoral Dissertation]. Georgia Tech; 2007. Available from: http://hdl.handle.net/1853/16217

University of Central Florida

27. Ling, Chen. Three Essays On Differential Games And Resource Economics.

Degree: 2010, University of Central Florida

URL: https://stars.library.ucf.edu/etd/4242

► This dissertation consists of three chapters on the topic of differential games and resource economics. The first chapter extends the envelope theorem to the class… (more)

▼ This dissertation consists of three chapters on the topic of differential games and resource economics. The first chapter extends the envelope theorem to the class of discounted infinite horizon differential games that posses locally differentiable Nash equilibria. The theorems cover both the open-loop and feedback information structures, and are applied to a simple analytically solvable linear-quadratic game. The results show that the conventional interpretation of the costate variable as the shadow value of the state variable along the equilibrium path is only valid for feedback Nash equilibria, but not for open-loop Nash equilibria. The specific linear-quadratic structure provides some extra insights on the theorem. For example, the costate variable is shown to uniformly overestimate the shadow value of the state variable in the open-loop case, but the growth rate of the costate variable are the same as the shadow value under open-loop and feedback information structures. Chapter two investigates the qualitative properties of symmetric open-loop Nash equilibria for a ubiquitous class of discounted infinite horizon differential games. The results show that the specific functional forms and the value of parameters used in the game are crucial in determining the local asymptotic stability of steady state, the steady state comparative statics, and the local comparative dynamics. Several sufficient conditions are provided to identify a local saddle point type of steady state. An important steady state policy implication from the model is that functional forms and parameter values are not only quantitatively important to differentiate policy tools, but they are also qualitatively important. Chapter three shifts the interests to the lottery mechanism for rationing public resources. It characterizes the optimal pricing strategies of lotteries for a welfare-maximization agency. The optimal prices are shown to be positive for a wide range of individual private value distributions, suggesting that the sub-optimal pricing may result in a significant efficiency loss and that the earlier studies under zero-pricing may need to be re-examined. In addition, I identify the revenue and welfare equivalency propositions across lottery institutions. Finally, the numerical simulations strongly support the findings. Advisors/Committee Members: Caputo, Michael.

Subjects/Keywords: Differential games; Open-loop Nash equilibrium; Feedback Nash equilibrium; Envelope theorem; Lottery; optimal pricing; Revenue and welfare equivalence; Economics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Ling, C. (2010). Three Essays On Differential Games And Resource Economics. (Doctoral Dissertation). University of Central Florida. Retrieved from https://stars.library.ucf.edu/etd/4242

Chicago Manual of Style (16^th Edition):

Ling, Chen. “Three Essays On Differential Games And Resource Economics.” 2010. Doctoral Dissertation, University of Central Florida. Accessed January 18, 2021. https://stars.library.ucf.edu/etd/4242.

MLA Handbook (7^th Edition):

Ling, Chen. “Three Essays On Differential Games And Resource Economics.” 2010. Web. 18 Jan 2021.

Vancouver:

Ling C. Three Essays On Differential Games And Resource Economics. [Internet] [Doctoral dissertation]. University of Central Florida; 2010. [cited 2021 Jan 18]. Available from: https://stars.library.ucf.edu/etd/4242.

Council of Science Editors:

Ling C. Three Essays On Differential Games And Resource Economics. [Doctoral Dissertation]. University of Central Florida; 2010. Available from: https://stars.library.ucf.edu/etd/4242

28. Souza, Thársis Tuani Pinto. Simulações Financeiras em GPU.

Degree: Mestrado, Ciência da Computação, 2013, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/45/45134/tde-23052013-234703/ ;

►

É muito comum modelar problemas em finanças com processos estocásticos, dada a incerteza de suas variáveis de análise. Além disso, problemas reais nesse domínio são,… (more)

▼

É muito comum modelar problemas em finanças com processos estocásticos, dada a incerteza de suas variáveis de análise. Além disso, problemas reais nesse domínio são, em geral, de grande custo computacional, o que sugere a utilização de plataformas de alto desempenho (HPC) em sua implementação. As novas gerações de arquitetura de hardware gráfico (GPU) possibilitam a programação de propósito geral enquanto mantêm alta banda de memória e grande poder computacional. Assim, esse tipo de arquitetura vem se mostrando como uma excelente alternativa em HPC. Com isso, a proposta principal desse trabalho é estudar o ferramental matemático e computacional necessário para modelagem estocástica em finanças com a utilização de GPUs como plataforma de aceleração. Para isso, apresentamos a GPU como uma plataforma de computação de propósito geral. Em seguida, analisamos uma variedade de geradores de números aleatórios, tanto em arquitetura sequencial quanto paralela. Além disso, apresentamos os conceitos fundamentais de Cálculo Estocástico e de método de Monte Carlo para simulação estocástica em finanças. Ao final, apresentamos dois estudos de casos de problemas em finanças: \"Stops Ótimosë \"Cálculo de Risco de Mercado\". No primeiro caso, resolvemos o problema de otimização de obtenção do ganho ótimo em uma estratégia de negociação de ações de \"Stop Gain\". A solução proposta é escalável e de paralelização inerente em GPU. Para o segundo caso, propomos um algoritmo paralelo para cálculo de risco de mercado, bem como técnicas para melhorar a solução obtida. Nos nossos experimentos, houve uma melhora de 4 vezes na qualidade da simulação estocástica e uma aceleração de mais de 50 vezes.

Given the uncertainty of their variables, it is common to model financial problems with stochastic processes. Furthermore, real problems in this area have a high computational cost. This suggests the use of High Performance Computing (HPC) to handle them. New generations of graphics hardware (GPU) enable general purpose computing while maintaining high memory bandwidth and large computing power. Therefore, this type of architecture is an excellent alternative in HPC and comptutational finance. The main purpose of this work is to study the computational and mathematical tools needed for stochastic modeling in finance using GPUs. We present GPUs as a platform for general purpose computing. We then analyze a variety of random number generators, both in sequential and parallel architectures, and introduce the fundamental mathematical tools for Stochastic Calculus and Monte Carlo simulation. With this background, we present two case studies in finance: ``Optimal Trading Stops\'ánd ``Market Risk Management\'\'. In the first case, we solve the problem of obtaining the optimal gain on a stock trading strategy of ``Stop Gain\'\'. The proposed solution is scalable and with inherent parallelism on GPU. For the second case, we propose a parallel algorithm to compute market risk, as well as techniques for improving the quality of the solutions. In our…

Advisors/Committee Members: Mascarenhas, Walter Figueiredo.

Subjects/Keywords: Computação Paralela; Finanças Quantitativas; GPGPU; GPGPU; GPU; GPU; Market Risk; Mathematical Methods in Finance; Mathematical Modeling; Métodos Matemáticos em Finanças; Modelagem Matemática; Números Aleatórios; Options Pricing; Parallel Computing; Precificação de Opções; Quantitative Finance; Random Numbers; Risco de Mercado; Simulação de Equações Diferencias Estocásticas; Simulação Estocástica; Simulation of Stochastic Differential Equations; Stochastic Simulation; Stops; Stops; Value-at-Risk; Value-at-Risk; VaR; VaR

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Souza, T. T. P. (2013). Simulações Financeiras em GPU. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/45/45134/tde-23052013-234703/ ;

Chicago Manual of Style (16^th Edition):

Souza, Thársis Tuani Pinto. “Simulações Financeiras em GPU.” 2013. Masters Thesis, University of São Paulo. Accessed January 18, 2021. http://www.teses.usp.br/teses/disponiveis/45/45134/tde-23052013-234703/ ;.

MLA Handbook (7^th Edition):

Souza, Thársis Tuani Pinto. “Simulações Financeiras em GPU.” 2013. Web. 18 Jan 2021.

Vancouver:

Souza TTP. Simulações Financeiras em GPU. [Internet] [Masters thesis]. University of São Paulo; 2013. [cited 2021 Jan 18]. Available from: http://www.teses.usp.br/teses/disponiveis/45/45134/tde-23052013-234703/ ;.

Council of Science Editors:

Souza TTP. Simulações Financeiras em GPU. [Masters Thesis]. University of São Paulo; 2013. Available from: http://www.teses.usp.br/teses/disponiveis/45/45134/tde-23052013-234703/ ;

University of Oxford

29. Burgos, Sylvestre Jean-Baptiste Louis. The computation of Greeks with multilevel Monte Carlo.

Degree: PhD, 2014, University of Oxford

URL: http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627867

► In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk.… (more)

▼ In mathematical finance, the sensitivities of option prices to various market parameters, also known as the “Greeks”, reflect the exposure to different sources of risk. Computing these is essential to predict the impact of market moves on portfolios and to hedge them adequately. This is commonly done using Monte Carlo simulations. However, obtaining accurate estimates of the Greeks can be computationally costly. Multilevel Monte Carlo offers complexity improvements over standard Monte Carlo techniques. However the idea has never been used for the computation of Greeks. In this work we answer the following questions: can multilevel Monte Carlo be useful in this setting? If so, how can we construct efficient estimators? Finally, what computational savings can we expect from these new estimators? We develop multilevel Monte Carlo estimators for the Greeks of a range of options: European options with Lipschitz payoffs (e.g. call options), European options with discontinuous payoffs (e.g. digital options), Asian options, barrier options and lookback options. Special care is taken to construct efficient estimators for non-smooth and exotic payoffs. We obtain numerical results that demonstrate the computational benefits of our algorithms. We discuss the issues of convergence of pathwise sensitivities estimators. We show rigorously that the differentiation of common discretisation schemes for Ito processes does result in satisfactory estimators of the the exact solutions’ sensitivities. We also prove that pathwise sensitivities estimators can be used under some regularity conditions to compute the Greeks of options whose underlying asset’s price is modelled as an Ito process. We present several important results on the moments of the solutions of stochastic differential equations and their discretisations as well as the principles of the so-called “extreme path analysis”. We use these to develop a rigorous analysis of the complexity of the multilevel Monte Carlo Greeks estimators constructed earlier. The resulting complexity bounds appear to be sharp and prove that our multilevel algorithms are more efficient than those derived from standard Monte Carlo.

Subjects/Keywords: 518; Mathematics; Mathematical finance; Numerical analysis; Probability theory and stochastic processes; Monte Carlo simulations; multilevel Monte Carlo; Option pricing; Computational complexity; simulation; Greeks; Risk; Financial derivatives; stochastic differential equations; Differentiation of stochastic processes; pathwise sensitivities; European options; Asian options; Lookback options; Barrier options; Binary options; Digital options; Vibrato Monte Carlo; Sensitivities of SDE solutions

Record Details Similar Records Cite « Share

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Burgos, S. J. L. (2014). The computation of Greeks with multilevel Monte Carlo. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627867

Chicago Manual of Style (16^th Edition):

Burgos, Sylvestre Jean-Baptiste Louis. “The computation of Greeks with multilevel Monte Carlo.” 2014. Doctoral Dissertation, University of Oxford. Accessed January 18, 2021. http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627867.

MLA Handbook (7^th Edition):

Burgos, Sylvestre Jean-Baptiste Louis. “The computation of Greeks with multilevel Monte Carlo.” 2014. Web. 18 Jan 2021.

Vancouver:

Burgos SJL. The computation of Greeks with multilevel Monte Carlo. [Internet] [Doctoral dissertation]. University of Oxford; 2014. [cited 2021 Jan 18]. Available from: http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627867.

Council of Science Editors:

Burgos SJL. The computation of Greeks with multilevel Monte Carlo. [Doctoral Dissertation]. University of Oxford; 2014. Available from: http://ora.ox.ac.uk/objects/uuid:6453a93b-9daf-4bfe-8c77-9cd6802f77dd ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.627867

Universitat Politècnica de València

30. Sanchis Cano, Ángel. Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach .

Degree: 2018, Universitat Politècnica de València

URL: http://hdl.handle.net/10251/102642

► El mundo de las telecomunicaciones está cambiando de un escenario donde únicamente las personas estaban conectadas a un modelo donde prácticamente todos los dispositivos y… (more)

▼ El mundo de las telecomunicaciones está cambiando de un escenario donde únicamente las personas estaban conectadas a un modelo donde prácticamente todos los dispositivos y sensores se encuentran conectados, también conocido como Internet de las cosas (IoT), donde miles de millones de dispositivos se conectarán a Internet a través de conexiones móviles y redes fijas. En este contexto, hay muchos retos que superar, desde el desarrollo de nuevos estándares de comunicación al estudio de la viabilidad económica de los posibles escenarios futuros. En esta tesis nos hemos centrado en el estudio de la viabilidad económica de diferentes escenarios mediante el uso de conceptos de microeconomía, teoría de juegos, optimización no lineal, economía de redes y redes inalámbricas. La tesis analiza la transición desde redes centradas en el servicio de tráfico HTC a redes centradas en tráfico MTC desde un punto de vista económico. El primer escenario ha sido diseñado para centrarse en las primeras etapas de la transición, en la que ambos tipos de tráfico son servidos bajo la misma infraestructura de red. En el segundo escenario analizamos la siguiente etapa, en la que el servicio a los usuarios MTC se realiza mediante una infraestructura dedicada. Finalmente, el tercer escenario analiza la provisión de servicios basados en MTC a usuarios finales, mediante la infraestructura analizada en el escenario anterior. Gracias al análisis de todos los escenarios, hemos observado que la transición de redes centradas en usuarios HTC a redes MTC es posible y que la provisión de servicios en tales escenarios es viable. Además, hemos observado que el comportamiento de los usuarios es esencial para determinar la viabilidad de los diferentes modelos de negocio, y por tanto, es necesario estudiar el comportamiento y las preferencias de los usuarios en profundidad en estudios futuros. Específicamente, los factores más relevantes son la sensibilidad de los usuarios al retardo en los datos recopilados por los sensores y la cantidad de los mismos. También hemos observado que la diferenciación del tráfico en categorías mejora el uso de las redes y permite crear nuevos servicios empleando datos que, de otro modo, no se aprovecharían, lo cual nos permite mejorar la monetización de la infraestructura. También hemos demostrado que la provisión de capacidad es un mecanismo válido, alternativo a la fijación de precios, para la optimización de los beneficios de los proveedores de servicio. Finalmente, se ha demostrado que es posible crear roles específicos para ofrecer servicios IoT en el mercado de las telecomunicaciones, específicamente, los IoT-SPs, que proporcionan servicios basados en sensores inalámbricos utilizando infraestructuras de acceso de terceros y sus propias redes de sensores. En resumen, en esta tesis hemos intentado demostrar la viabilidad económica de modelos de negocio basados en redes futuras IoT, así como la aparición de nuevas oportunidades y roles de negocio, lo cual nos permite justificar económicamente el desarrollo y la implementación… Advisors/Committee Members: Guijarro Coloma, Luis Alejandro (advisor).

Subjects/Keywords: game theory; evolutionary game theory; queuing theory; Nash equilibrium; Wardrop equilibrium; population games; discrete choice model; network economics; mathematical modeling; pricing; dynamic capacity optimization; optimal control; differential games; monopoly; oligopoly; competition; profit maximization; users subscription; internet of things; internet of things service provider; machine type communications; wireless sensor networks

Record Details Similar Records Cite « Share

❌

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Sanchis Cano, �. (2018). Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach . (Doctoral Dissertation). Universitat Politècnica de València. Retrieved from http://hdl.handle.net/10251/102642

Chicago Manual of Style (16^th Edition):

Sanchis Cano, Ángel. “Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach .” 2018. Doctoral Dissertation, Universitat Politècnica de València. Accessed January 18, 2021. http://hdl.handle.net/10251/102642.

MLA Handbook (7^th Edition):

Sanchis Cano, Ángel. “Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach .” 2018. Web. 18 Jan 2021.

Vancouver:

Sanchis Cano �. Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach . [Internet] [Doctoral dissertation]. Universitat Politècnica de València; 2018. [cited 2021 Jan 18]. Available from: http://hdl.handle.net/10251/102642.

Council of Science Editors:

Sanchis Cano �. Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach . [Doctoral Dissertation]. Universitat Politècnica de València; 2018. Available from: http://hdl.handle.net/10251/102642

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