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You searched for subject:(Geometric Brownian motion). Showing records 1 – 30 of 37 total matches.

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1. Luu, Phong Thanh. Optimal pairs trading rules and numerical methods.

Degree: PhD, Mathematics, 2016, University of Georgia

 Pairs trading involves two correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered… (more)

Subjects/Keywords: Geometric Brownian motion

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

APA (6th Edition):

Luu, P. T. (2016). Optimal pairs trading rules and numerical methods. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/luu_phong_t_201608_phd

Chicago Manual of Style (16th Edition):

Luu, Phong Thanh. “Optimal pairs trading rules and numerical methods.” 2016. Doctoral Dissertation, University of Georgia. Accessed March 18, 2019. http://purl.galileo.usg.edu/uga_etd/luu_phong_t_201608_phd.

MLA Handbook (7th Edition):

Luu, Phong Thanh. “Optimal pairs trading rules and numerical methods.” 2016. Web. 18 Mar 2019.

Vancouver:

Luu PT. Optimal pairs trading rules and numerical methods. [Internet] [Doctoral dissertation]. University of Georgia; 2016. [cited 2019 Mar 18]. Available from: http://purl.galileo.usg.edu/uga_etd/luu_phong_t_201608_phd.

Council of Science Editors:

Luu PT. Optimal pairs trading rules and numerical methods. [Doctoral Dissertation]. University of Georgia; 2016. Available from: http://purl.galileo.usg.edu/uga_etd/luu_phong_t_201608_phd


Linnaeus University

2. Feng, Zijie. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.

Degree: Mathematics, 2018, Linnaeus University

  As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is… (more)

Subjects/Keywords: geometric fractional Brownian motion; fractional Brownian motion; fractional Gaussian noise; Hurst exponent; Mathematics; Matematik

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APA (6th Edition):

Feng, Z. (2018). Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. (Thesis). Linnaeus University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375

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

Chicago Manual of Style (16th Edition):

Feng, Zijie. “Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.” 2018. Thesis, Linnaeus University. Accessed March 18, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.

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

MLA Handbook (7th Edition):

Feng, Zijie. “Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market.” 2018. Web. 18 Mar 2019.

Vancouver:

Feng Z. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. [Internet] [Thesis]. Linnaeus University; 2018. [cited 2019 Mar 18]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.

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

Council of Science Editors:

Feng Z. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market. [Thesis]. Linnaeus University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375

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


University of Wisconsin – Milwaukee

3. Siebigteroth, Ines Larissa. Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes.

Degree: MS, Mathematics, 2017, University of Wisconsin – Milwaukee

  This thesis is focused on the perpetual American put option under the geometric Brownian motion and mean-reverting models. Two approaches, which have been applied… (more)

Subjects/Keywords: Geometric Brownian Motion; Mean Reversion Trading; Optimal Stopping; Perpetual Put; Mathematics

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APA (6th Edition):

Siebigteroth, I. L. (2017). Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes. (Thesis). University of Wisconsin – Milwaukee. Retrieved from https://dc.uwm.edu/etd/1540

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

Chicago Manual of Style (16th Edition):

Siebigteroth, Ines Larissa. “Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes.” 2017. Thesis, University of Wisconsin – Milwaukee. Accessed March 18, 2019. https://dc.uwm.edu/etd/1540.

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

MLA Handbook (7th Edition):

Siebigteroth, Ines Larissa. “Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes.” 2017. Web. 18 Mar 2019.

Vancouver:

Siebigteroth IL. Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes. [Internet] [Thesis]. University of Wisconsin – Milwaukee; 2017. [cited 2019 Mar 18]. Available from: https://dc.uwm.edu/etd/1540.

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

Council of Science Editors:

Siebigteroth IL. Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-reverting Processes. [Thesis]. University of Wisconsin – Milwaukee; 2017. Available from: https://dc.uwm.edu/etd/1540

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


NSYSU

4. Lai, Chin-Chun. Pricing Asian Options via Taylor Approximations.

Degree: PhD, Applied Mathematics, 2014, NSYSU

 ããAsian options are path dependent derivatives whose payoff depends on some form of averaging prices of the underlying asset. The valuation of Asian options is… (more)

Subjects/Keywords: Geometric Brownian motion; Taylor series; Asian Options; Valuation; Arithmetic average

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APA (6th Edition):

Lai, C. (2014). Pricing Asian Options via Taylor Approximations. (Doctoral Dissertation). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0720114-154344

Chicago Manual of Style (16th Edition):

Lai, Chin-Chun. “Pricing Asian Options via Taylor Approximations.” 2014. Doctoral Dissertation, NSYSU. Accessed March 18, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0720114-154344.

MLA Handbook (7th Edition):

Lai, Chin-Chun. “Pricing Asian Options via Taylor Approximations.” 2014. Web. 18 Mar 2019.

Vancouver:

Lai C. Pricing Asian Options via Taylor Approximations. [Internet] [Doctoral dissertation]. NSYSU; 2014. [cited 2019 Mar 18]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0720114-154344.

Council of Science Editors:

Lai C. Pricing Asian Options via Taylor Approximations. [Doctoral Dissertation]. NSYSU; 2014. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0720114-154344


Bowling Green State University

5. Vardar, Ceren. On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes.

Degree: PhD, Mathematics/Probability and Statistics, 2008, Bowling Green State University

 One of the primary issues in mathematical finance is the ability to construct portfolios that are optimal with respect to the risk. The stock price… (more)

Subjects/Keywords: Mathematics; Brownian Motion; Geometric Brownian Motion; Sharpe Ratio; Strong Markov Property; Scaling Property; Bessel Process; Doob's h-transform; Path Decomposition

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APA (6th Edition):

Vardar, C. (2008). On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes. (Doctoral Dissertation). Bowling Green State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1224274306

Chicago Manual of Style (16th Edition):

Vardar, Ceren. “On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes.” 2008. Doctoral Dissertation, Bowling Green State University. Accessed March 18, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1224274306.

MLA Handbook (7th Edition):

Vardar, Ceren. “On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes.” 2008. Web. 18 Mar 2019.

Vancouver:

Vardar C. On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes. [Internet] [Doctoral dissertation]. Bowling Green State University; 2008. [cited 2019 Mar 18]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1224274306.

Council of Science Editors:

Vardar C. On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes. [Doctoral Dissertation]. Bowling Green State University; 2008. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1224274306


KTH

6. Brodd, Tobias. Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns.

Degree: Electrical Engineering and Computer Science (EECS), 2018, KTH

The financial market is a stochastic and complex system that is challenging to model. It is crucial for investors to be able to model… (more)

Subjects/Keywords: monte carlo; simulations; finance; modelling; geometric brownian motion; random walks; stock prices; probability theory; monte carlo; simuleringar; finans; modellering; geometric brownian motion; random walks; aktiekurser; sannolikhetsteori; Computer Sciences; Datavetenskap (datalogi)

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

APA (6th Edition):

Brodd, T. (2018). Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752

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

Chicago Manual of Style (16th Edition):

Brodd, Tobias. “Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns.” 2018. Thesis, KTH. Accessed March 18, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752.

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

MLA Handbook (7th Edition):

Brodd, Tobias. “Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns.” 2018. Web. 18 Mar 2019.

Vancouver:

Brodd T. Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns. [Internet] [Thesis]. KTH; 2018. [cited 2019 Mar 18]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752.

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

Council of Science Editors:

Brodd T. Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns. [Thesis]. KTH; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752

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


NSYSU

7. Cheng, Yu-Chen. Monotonicity of Option Prices Relative to Volatility.

Degree: Master, Applied Mathematics, 2012, NSYSU

 The Black-Scholes formula was the widely-used model for option pricing, this formula can be use to calculate the price of option by using current underlying… (more)

Subjects/Keywords: European option; Volatility; Risk-neutral; Black-Scholes model; Generalized geometric Brownian motion

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APA (6th Edition):

Cheng, Y. (2012). Monotonicity of Option Prices Relative to Volatility. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718112-130733

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

Chicago Manual of Style (16th Edition):

Cheng, Yu-Chen. “Monotonicity of Option Prices Relative to Volatility.” 2012. Thesis, NSYSU. Accessed March 18, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718112-130733.

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

MLA Handbook (7th Edition):

Cheng, Yu-Chen. “Monotonicity of Option Prices Relative to Volatility.” 2012. Web. 18 Mar 2019.

Vancouver:

Cheng Y. Monotonicity of Option Prices Relative to Volatility. [Internet] [Thesis]. NSYSU; 2012. [cited 2019 Mar 18]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718112-130733.

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

Council of Science Editors:

Cheng Y. Monotonicity of Option Prices Relative to Volatility. [Thesis]. NSYSU; 2012. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718112-130733

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


Universidade de Lisboa

8. Ribeiro, Maria Madalena Rodrigues. Avaliação de opções americanas via simulação de Monte Carlo.

Degree: 2010, Universidade de Lisboa

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2010

Esta tese foca-se no estudo da avaliação de… (more)

Subjects/Keywords: Opções americanas; Monte Carlo; Modelo CEV; Modelo JDCEV; Geometric Brownian Motion; Teses de mestrado - 2010

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APA (6th Edition):

Ribeiro, M. M. R. (2010). Avaliação de opções americanas via simulação de Monte Carlo. (Thesis). Universidade de Lisboa. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/8598

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

Chicago Manual of Style (16th Edition):

Ribeiro, Maria Madalena Rodrigues. “Avaliação de opções americanas via simulação de Monte Carlo.” 2010. Thesis, Universidade de Lisboa. Accessed March 18, 2019. http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/8598.

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

MLA Handbook (7th Edition):

Ribeiro, Maria Madalena Rodrigues. “Avaliação de opções americanas via simulação de Monte Carlo.” 2010. Web. 18 Mar 2019.

Vancouver:

Ribeiro MMR. Avaliação de opções americanas via simulação de Monte Carlo. [Internet] [Thesis]. Universidade de Lisboa; 2010. [cited 2019 Mar 18]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/8598.

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

Council of Science Editors:

Ribeiro MMR. Avaliação de opções americanas via simulação de Monte Carlo. [Thesis]. Universidade de Lisboa; 2010. Available from: http://www.rcaap.pt/detail.jsp?id=oai:repositorio.ul.pt:10451/8598

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


Iowa State University

9. Shi, Wenbo. Investigation of critical sustainability decisions in product recycling and remanufacturing.

Degree: 2013, Iowa State University

 In recent years, there have been substantial interests in sustainable processes for the end-of-life products to conserve natural resource and reduce landfill wastes. Among these… (more)

Subjects/Keywords: closed loop supply chains; Geometric Brownian motion; real options; recycling; remanufacturing; uncertainty; Operational Research

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APA (6th Edition):

Shi, W. (2013). Investigation of critical sustainability decisions in product recycling and remanufacturing. (Thesis). Iowa State University. Retrieved from https://lib.dr.iastate.edu/etd/13361

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

Chicago Manual of Style (16th Edition):

Shi, Wenbo. “Investigation of critical sustainability decisions in product recycling and remanufacturing.” 2013. Thesis, Iowa State University. Accessed March 18, 2019. https://lib.dr.iastate.edu/etd/13361.

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

MLA Handbook (7th Edition):

Shi, Wenbo. “Investigation of critical sustainability decisions in product recycling and remanufacturing.” 2013. Web. 18 Mar 2019.

Vancouver:

Shi W. Investigation of critical sustainability decisions in product recycling and remanufacturing. [Internet] [Thesis]. Iowa State University; 2013. [cited 2019 Mar 18]. Available from: https://lib.dr.iastate.edu/etd/13361.

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

Council of Science Editors:

Shi W. Investigation of critical sustainability decisions in product recycling and remanufacturing. [Thesis]. Iowa State University; 2013. Available from: https://lib.dr.iastate.edu/etd/13361

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


University of Guelph

10. Manuge, Derek. Basket Option Pricing and the Mellin Transform .

Degree: 2014, University of Guelph

 Option pricing has been an increasingly popular area of study over the past four decades. The use of the Mellin transform in such a context,… (more)

Subjects/Keywords: basket; European; American; option; Mellin transform; fast Fourier transform; Black-Scholes; multi-asset; geometric Brownian motion

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APA (6th Edition):

Manuge, D. (2014). Basket Option Pricing and the Mellin Transform . (Thesis). University of Guelph. Retrieved from https://atrium.lib.uoguelph.ca/xmlui/handle/10214/7811

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

Chicago Manual of Style (16th Edition):

Manuge, Derek. “Basket Option Pricing and the Mellin Transform .” 2014. Thesis, University of Guelph. Accessed March 18, 2019. https://atrium.lib.uoguelph.ca/xmlui/handle/10214/7811.

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

MLA Handbook (7th Edition):

Manuge, Derek. “Basket Option Pricing and the Mellin Transform .” 2014. Web. 18 Mar 2019.

Vancouver:

Manuge D. Basket Option Pricing and the Mellin Transform . [Internet] [Thesis]. University of Guelph; 2014. [cited 2019 Mar 18]. Available from: https://atrium.lib.uoguelph.ca/xmlui/handle/10214/7811.

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

Council of Science Editors:

Manuge D. Basket Option Pricing and the Mellin Transform . [Thesis]. University of Guelph; 2014. Available from: https://atrium.lib.uoguelph.ca/xmlui/handle/10214/7811

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

11. FORERO BELTRAN, JULIAN. Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions .

Degree: 2016, Universidad de los Andes

En este documento se desarrollo un método de resolución de problemas de parada optima con restricción. Específicamente se consideraron los procesos estocásticos conocidos como difusiones y las restricciones son de tipo de Maduración. Advisors/Committee Members: Junca Pelaez Mauricio Jose (advisor).

Subjects/Keywords: Optimal Stopping; Diffusions; Threshold Solutions; Duality; Geometric Brownian Motion.

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APA (6th Edition):

FORERO BELTRAN, J. (2016). Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions . (Thesis). Universidad de los Andes. Retrieved from https://documentodegrado.uniandes.edu.co/documentos/10424.pdf

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

Chicago Manual of Style (16th Edition):

FORERO BELTRAN, JULIAN. “Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions .” 2016. Thesis, Universidad de los Andes. Accessed March 18, 2019. https://documentodegrado.uniandes.edu.co/documentos/10424.pdf.

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

MLA Handbook (7th Edition):

FORERO BELTRAN, JULIAN. “Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions .” 2016. Web. 18 Mar 2019.

Vancouver:

FORERO BELTRAN J. Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions . [Internet] [Thesis]. Universidad de los Andes; 2016. [cited 2019 Mar 18]. Available from: https://documentodegrado.uniandes.edu.co/documentos/10424.pdf.

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

Council of Science Editors:

FORERO BELTRAN J. Optimal Stopping For One Dimensional Diffusions With Maturity Type Restrictions . [Thesis]. Universidad de los Andes; 2016. Available from: https://documentodegrado.uniandes.edu.co/documentos/10424.pdf

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


University of Waterloo

12. Shapton, Brendan James. Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction.

Degree: 2017, University of Waterloo

 The importance of sustainable financial management of water and wastewater pipeline infrastructure has grown in recent years due to the increasing backlog of maintenance, renewal… (more)

Subjects/Keywords: Geometric Brownian Motion; Construction Index; Inflation; Capital Works Construction; Water and Wastewater Pipelines; Forecast Construction Prices; Contractor Markup

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APA (6th Edition):

Shapton, B. J. (2017). Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/11906

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

Chicago Manual of Style (16th Edition):

Shapton, Brendan James. “Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction.” 2017. Thesis, University of Waterloo. Accessed March 18, 2019. http://hdl.handle.net/10012/11906.

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

MLA Handbook (7th Edition):

Shapton, Brendan James. “Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction.” 2017. Web. 18 Mar 2019.

Vancouver:

Shapton BJ. Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction. [Internet] [Thesis]. University of Waterloo; 2017. [cited 2019 Mar 18]. Available from: http://hdl.handle.net/10012/11906.

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

Council of Science Editors:

Shapton BJ. Development of Unit Price Indices and Estimating Inflation for Potable Water and Wastewater Pipeline Capital Works Construction. [Thesis]. University of Waterloo; 2017. Available from: http://hdl.handle.net/10012/11906

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


University of South Florida

13. Siu, Daniel. Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation.

Degree: 2012, University of South Florida

 Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of… (more)

Subjects/Keywords: Geometric Brownian motion; Infinitesimal generator; Non-homogeneous Poisson process; Ornstein-Uhlenbeck process; Stochastic hybrid system; Mathematics; Statistics and Probability

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APA (6th Edition):

Siu, D. (2012). Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation. (Thesis). University of South Florida. Retrieved from https://scholarcommons.usf.edu/etd/4405

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

Chicago Manual of Style (16th Edition):

Siu, Daniel. “Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation.” 2012. Thesis, University of South Florida. Accessed March 18, 2019. https://scholarcommons.usf.edu/etd/4405.

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

MLA Handbook (7th Edition):

Siu, Daniel. “Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation.” 2012. Web. 18 Mar 2019.

Vancouver:

Siu D. Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation. [Internet] [Thesis]. University of South Florida; 2012. [cited 2019 Mar 18]. Available from: https://scholarcommons.usf.edu/etd/4405.

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

Council of Science Editors:

Siu D. Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation. [Thesis]. University of South Florida; 2012. Available from: https://scholarcommons.usf.edu/etd/4405

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


University of Alabama

14. Chang, Hung Yu. A non-geometric Brownian motion model estimated by Markov chain approximation.

Degree: 2011, University of Alabama

 The pricing of most contingent claims is continuously monitored the movement of the underlying assets that follow geometric Brownian motion. However, for exotic options, the… (more)

Subjects/Keywords: Electronic Thesis or Dissertation;  – thesis; Mathematics; Finance; Engineering; knock-out option; Markov chain; non-geometric Brownian motion; power asset option; time-varying barrier

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

APA (6th Edition):

Chang, H. Y. (2011). A non-geometric Brownian motion model estimated by Markov chain approximation. (Thesis). University of Alabama. Retrieved from http://purl.lib.ua.edu/43412

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

Chicago Manual of Style (16th Edition):

Chang, Hung Yu. “A non-geometric Brownian motion model estimated by Markov chain approximation.” 2011. Thesis, University of Alabama. Accessed March 18, 2019. http://purl.lib.ua.edu/43412.

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

MLA Handbook (7th Edition):

Chang, Hung Yu. “A non-geometric Brownian motion model estimated by Markov chain approximation.” 2011. Web. 18 Mar 2019.

Vancouver:

Chang HY. A non-geometric Brownian motion model estimated by Markov chain approximation. [Internet] [Thesis]. University of Alabama; 2011. [cited 2019 Mar 18]. Available from: http://purl.lib.ua.edu/43412.

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

Council of Science Editors:

Chang HY. A non-geometric Brownian motion model estimated by Markov chain approximation. [Thesis]. University of Alabama; 2011. Available from: http://purl.lib.ua.edu/43412

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


Pontifical Catholic University of Rio de Janeiro

15. ANDREW DE JESUS FREITAS SILVA. [en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

[pt] A escolha da cidade do Rio de Janeiro como sede da Olimpíada de 2016 trouxe a necessidade de realização de diversos projetos de infraestrutura… (more)

Subjects/Keywords: [pt] MOVIMENTO GEOMETRICO BROWNIANO; [en] GEOMETRIC BROWNIAN MOTION; [pt] TEORIA DE OPCOES REAIS; [en] THEORY OF REAL OPTIONS; [pt] VEICULO LEVE SOBRE TRILHOS; [en] LIGHT RAIL

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APA (6th Edition):

SILVA, A. D. J. F. (2018). [en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34203

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

Chicago Manual of Style (16th Edition):

SILVA, ANDREW DE JESUS FREITAS. “[en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed March 18, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34203.

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

MLA Handbook (7th Edition):

SILVA, ANDREW DE JESUS FREITAS. “[en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES.” 2018. Web. 18 Mar 2019.

Vancouver:

SILVA ADJF. [en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Mar 18]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34203.

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

Council of Science Editors:

SILVA ADJF. [en] ANALYSIS OF THE VLT CARIOCA PROJECT VIA REAL OPTIONS EVALUATING THE RETURN TO THE WINNER OF THE BID AND THE IMPACT OF GOVERNMENT INCENTIVES. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34203

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


Pontifical Catholic University of Rio de Janeiro

16. MATHEUS SILVEIRA CATAULI DOS SANTOS. [en] CAREER CHOICE: A REAL OPTIONS APPROACH.

Degree: 2013, Pontifical Catholic University of Rio de Janeiro

[pt] A escolha de uma carreira é uma das decisões mais importantes na vida de uma pessoa, e é feita em um ambiente repleto de… (more)

Subjects/Keywords: [pt] OPCOES REAIS; [en] REAL OPTIONS; [pt] MOVIMENTO GEOMETRICO BROWNIANO; [en] GEOMETRIC BROWNIAN MOTION; [pt] ARVORE BINOMINAL; [en] BINOMINAL TREE; [pt] ESCOLHA DE CARREIRA; [pt] CONCURSO PUBLICO

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APA (6th Edition):

SANTOS, M. S. C. D. (2013). [en] CAREER CHOICE: A REAL OPTIONS APPROACH. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22213

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

Chicago Manual of Style (16th Edition):

SANTOS, MATHEUS SILVEIRA CATAULI DOS. “[en] CAREER CHOICE: A REAL OPTIONS APPROACH.” 2013. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed March 18, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22213.

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

MLA Handbook (7th Edition):

SANTOS, MATHEUS SILVEIRA CATAULI DOS. “[en] CAREER CHOICE: A REAL OPTIONS APPROACH.” 2013. Web. 18 Mar 2019.

Vancouver:

SANTOS MSCD. [en] CAREER CHOICE: A REAL OPTIONS APPROACH. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2013. [cited 2019 Mar 18]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22213.

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

Council of Science Editors:

SANTOS MSCD. [en] CAREER CHOICE: A REAL OPTIONS APPROACH. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2013. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22213

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

17. Ferreira, Paulo Fernando Marques. Evaluating investment opportunities under different model dynamics: some managerial insights.

Degree: 2012, RCAAP

Projetado / JEL Classification System: G13; G31; D81; D92; C61

The Net Present Value is the most well known measure of project valuation for managers.… (more)

Subjects/Keywords: Real Options; Flexibility; Geometric Brownian Motion; Constant elasticity of variance diffusion; Opções reais; Flexibilidade; Movimento Browniano geométrico; Difusão da constante elasticidade da variância

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APA (6th Edition):

Ferreira, P. F. M. (2012). Evaluating investment opportunities under different model dynamics: some managerial insights. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6397

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

Chicago Manual of Style (16th Edition):

Ferreira, Paulo Fernando Marques. “Evaluating investment opportunities under different model dynamics: some managerial insights.” 2012. Thesis, RCAAP. Accessed March 18, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6397.

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

MLA Handbook (7th Edition):

Ferreira, Paulo Fernando Marques. “Evaluating investment opportunities under different model dynamics: some managerial insights.” 2012. Web. 18 Mar 2019.

Vancouver:

Ferreira PFM. Evaluating investment opportunities under different model dynamics: some managerial insights. [Internet] [Thesis]. RCAAP; 2012. [cited 2019 Mar 18]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6397.

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

Council of Science Editors:

Ferreira PFM. Evaluating investment opportunities under different model dynamics: some managerial insights. [Thesis]. RCAAP; 2012. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/6397

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


University of the Western Cape

18. Mudzimbabwe, Walter. Pricing methods for Asian options .

Degree: 2010, University of the Western Cape

 We present various methods of pricing Asian options. The methods include Monte Carlo simulations designed using control and antithetic variates, numerical solution of partial differential… (more)

Subjects/Keywords: Asian options; European basket options; Geometric brownian motion; Itˆo Lemma; Girsanov theorem; Feynman-kac theorem; Stochastic differential equation; Monte Carlo simulations; Variance reduction techniques; Finite difference methods

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APA (6th Edition):

Mudzimbabwe, W. (2010). Pricing methods for Asian options . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/3468

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

Chicago Manual of Style (16th Edition):

Mudzimbabwe, Walter. “Pricing methods for Asian options .” 2010. Thesis, University of the Western Cape. Accessed March 18, 2019. http://hdl.handle.net/11394/3468.

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

MLA Handbook (7th Edition):

Mudzimbabwe, Walter. “Pricing methods for Asian options .” 2010. Web. 18 Mar 2019.

Vancouver:

Mudzimbabwe W. Pricing methods for Asian options . [Internet] [Thesis]. University of the Western Cape; 2010. [cited 2019 Mar 18]. Available from: http://hdl.handle.net/11394/3468.

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

Council of Science Editors:

Mudzimbabwe W. Pricing methods for Asian options . [Thesis]. University of the Western Cape; 2010. Available from: http://hdl.handle.net/11394/3468

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

19. Osborne, Bryan A., 1980-. Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market.

Degree: Energy and Earth Resources, 2009, University of Texas – Austin

 Texas’ Mass Emission Cap and Trade program is a mandatory Nitrous Oxide (NOx) abatement program for medium and large stationary sources located in the Houston-Galveston… (more)

Subjects/Keywords: Cap market; Trade market; Geometric brownian motion; Nitrous oxide

…modeling techniques, including Geometric Brownian Motion (with and without jumps)… …Of these seven models, the Geometric Brownian Motion process augmented by jumps was found… …This research intends to create a Geometric Brownian Motion mechanism by which to evaluate… …Geometric Brownian Motion (GBM) in the HGA NOx Market The first task in building a GBM… …Geometric Brownian Motion equation makes it possible to calculate predicted values for V based on… 

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APA (6th Edition):

Osborne, Bryan A., 1. (2009). Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2009-12-560

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

Chicago Manual of Style (16th Edition):

Osborne, Bryan A., 1980-. “Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market.” 2009. Thesis, University of Texas – Austin. Accessed March 18, 2019. http://hdl.handle.net/2152/ETD-UT-2009-12-560.

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

MLA Handbook (7th Edition):

Osborne, Bryan A., 1980-. “Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market.” 2009. Web. 18 Mar 2019.

Vancouver:

Osborne, Bryan A. 1. Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market. [Internet] [Thesis]. University of Texas – Austin; 2009. [cited 2019 Mar 18]. Available from: http://hdl.handle.net/2152/ETD-UT-2009-12-560.

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

Council of Science Editors:

Osborne, Bryan A. 1. Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market. [Thesis]. University of Texas – Austin; 2009. Available from: http://hdl.handle.net/2152/ETD-UT-2009-12-560

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


NSYSU

20. Li, Wei-Hung. Expert System for Numerical Methods of Stochastic Differential Equations.

Degree: Master, Applied Mathematics, 2006, NSYSU

 In this thesis, we expand the option pricing and virtual asset model system by Cheng (2005) and include new simulations and maximum likelihood estimation of… (more)

Subjects/Keywords: Maximum likelihood estimation method; Jump diffusion model; Black-Scholes model; Geometric Brownian motion; Constant elasticity of volatility model

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APA (6th Edition):

Li, W. (2006). Expert System for Numerical Methods of Stochastic Differential Equations. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727106-160316

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

Chicago Manual of Style (16th Edition):

Li, Wei-Hung. “Expert System for Numerical Methods of Stochastic Differential Equations.” 2006. Thesis, NSYSU. Accessed March 18, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727106-160316.

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

MLA Handbook (7th Edition):

Li, Wei-Hung. “Expert System for Numerical Methods of Stochastic Differential Equations.” 2006. Web. 18 Mar 2019.

Vancouver:

Li W. Expert System for Numerical Methods of Stochastic Differential Equations. [Internet] [Thesis]. NSYSU; 2006. [cited 2019 Mar 18]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727106-160316.

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

Council of Science Editors:

Li W. Expert System for Numerical Methods of Stochastic Differential Equations. [Thesis]. NSYSU; 2006. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727106-160316

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


NSYSU

21. Cheng, Te-hung. Option Pricing and Virtual Asset Model System.

Degree: Master, Applied Mathematics, 2005, NSYSU

 In the literature, many methods are proposed to value American options. However, due to computational difficulty, there are only approximate solution or numerical method to… (more)

Subjects/Keywords: jump diffusion model; geometric Brownian motion; GARCH model; binomial model; quadratic approximation method; finite difference method; Black-Scholes model

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APA (6th Edition):

Cheng, T. (2005). Option Pricing and Virtual Asset Model System. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0707105-182950

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

Chicago Manual of Style (16th Edition):

Cheng, Te-hung. “Option Pricing and Virtual Asset Model System.” 2005. Thesis, NSYSU. Accessed March 18, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0707105-182950.

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

MLA Handbook (7th Edition):

Cheng, Te-hung. “Option Pricing and Virtual Asset Model System.” 2005. Web. 18 Mar 2019.

Vancouver:

Cheng T. Option Pricing and Virtual Asset Model System. [Internet] [Thesis]. NSYSU; 2005. [cited 2019 Mar 18]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0707105-182950.

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

Council of Science Editors:

Cheng T. Option Pricing and Virtual Asset Model System. [Thesis]. NSYSU; 2005. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0707105-182950

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


Pontifical Catholic University of Rio de Janeiro

22. TATIANA FONTES CUNHA. [en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION.

Degree: 2013, Pontifical Catholic University of Rio de Janeiro

[pt] O objetivo deste trabalho é determinar o melhor timing para a abertura de capital de empresas fechadas. Empresas fechadas detêm a opção de abertura… (more)

Subjects/Keywords: [pt] OPCOES REAIS; [en] REAL OPTIONS; [pt] SIMULACAO MONTE CARLO; [en] MONTE CARLO SIMULATION; [pt] MOVIMENTO GEOMETRICO BROWNIANO; [en] GEOMETRIC BROWNIAN MOTION; [pt] PROCESSOS ESTOCASTICOS; [en] STOCHASTIC PROCESSES; [pt] ABERTURA DE CAPITAL; [en] GOING PUBLIC

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APA (6th Edition):

CUNHA, T. F. (2013). [en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21064

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

Chicago Manual of Style (16th Edition):

CUNHA, TATIANA FONTES. “[en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION.” 2013. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed March 18, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21064.

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

MLA Handbook (7th Edition):

CUNHA, TATIANA FONTES. “[en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION.” 2013. Web. 18 Mar 2019.

Vancouver:

CUNHA TF. [en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2013. [cited 2019 Mar 18]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21064.

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

Council of Science Editors:

CUNHA TF. [en] TIMING EVALUATION FOR IPOS: A REAL OPTIONS APPROACH WITH SIMULATION. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2013. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=21064

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


Pontifical Catholic University of Rio de Janeiro

23. PIERRY SOUTO MACEDO DA SILVA. [en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

[pt] No seu planejamento plurianual de investimentos, as organizações do setor de Exploração e Produção (EeP) estruturam alternativas de projetos de produção de petróleo e… (more)

Subjects/Keywords: [pt] GERENCIAMENTO DE RISCOS; [en] RISK MANAGEMENT; [pt] MOVIMENTO GEOMETRICO BROWNIANO; [en] GEOMETRIC BROWNIAN MOTION; [pt] CONDITIONAL VALUE-AT-RISK - CVAR; [en] CONDITIONAL VALUE-AT-RISK - CVAR; [pt] PROGRAMACAO LINEAR INTEIRA MISTA; [en] MIXED INTEGER LINEAR PROGRAMMING; [pt] PORTFOLIO DE PROJETOS; [en] PROJECT PORTFOLIO

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APA (6th Edition):

SILVA, P. S. M. D. (2018). [en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34628

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

Chicago Manual of Style (16th Edition):

SILVA, PIERRY SOUTO MACEDO DA. “[en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed March 18, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34628.

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

MLA Handbook (7th Edition):

SILVA, PIERRY SOUTO MACEDO DA. “[en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL.” 2018. Web. 18 Mar 2019.

Vancouver:

SILVA PSMD. [en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Mar 18]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34628.

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

Council of Science Editors:

SILVA PSMD. [en] A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34628

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


Technical University of Lisbon

24. Carvalho, João Pereira. Portfolio insurance strategies : an analysis of path dependencies.

Degree: 2013, Technical University of Lisbon

Mestrado em Ciências Empresariais

This thesis makes an evaluation of the path-dependency/independency of the most widespread Portfolio Insurance strategies, i.e. CPPI, OBPI and SLPI, using… (more)

Subjects/Keywords: Portfolio Insurance strategies; CPPI; OBPI; SLPI; path-dependencies; cash-lock; Monte-Carlo simulations; conditioned geometric Brownian motion; Portfolio Insurance; dependência no caminho; simulações de Monte Carlo; cash-lock; movimento Browniano geométrico condicionado

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APA (6th Edition):

Carvalho, J. P. (2013). Portfolio insurance strategies : an analysis of path dependencies. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/5893

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

Chicago Manual of Style (16th Edition):

Carvalho, João Pereira. “Portfolio insurance strategies : an analysis of path dependencies.” 2013. Thesis, Technical University of Lisbon. Accessed March 18, 2019. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/5893.

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

MLA Handbook (7th Edition):

Carvalho, João Pereira. “Portfolio insurance strategies : an analysis of path dependencies.” 2013. Web. 18 Mar 2019.

Vancouver:

Carvalho JP. Portfolio insurance strategies : an analysis of path dependencies. [Internet] [Thesis]. Technical University of Lisbon; 2013. [cited 2019 Mar 18]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/5893.

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

Council of Science Editors:

Carvalho JP. Portfolio insurance strategies : an analysis of path dependencies. [Thesis]. Technical University of Lisbon; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/5893

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

25. Miranda, Guilherme Donário. On the application of structural credit risk models to sovereign issuers.

Degree: 2018, RCAAP

This dissertation uses CDS spreads to extract the probability of default of the Portuguese sovereign using a structural credit risk model. The model considered assumes… (more)

Subjects/Keywords: Credit Default Swaps; Probability of default; Portuguese Sovereign; Geometric Brownian motion; Risk neutral; Physical measure; Probabilidade de incumprimento; Estado Português; Movimento Browniano geométrico; Medida neutra; Medida física; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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APA (6th Edition):

Miranda, G. D. (2018). On the application of structural credit risk models to sovereign issuers. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ucp.pt:10400.14/25494

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

Chicago Manual of Style (16th Edition):

Miranda, Guilherme Donário. “On the application of structural credit risk models to sovereign issuers.” 2018. Thesis, RCAAP. Accessed March 18, 2019. https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ucp.pt:10400.14/25494.

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

MLA Handbook (7th Edition):

Miranda, Guilherme Donário. “On the application of structural credit risk models to sovereign issuers.” 2018. Web. 18 Mar 2019.

Vancouver:

Miranda GD. On the application of structural credit risk models to sovereign issuers. [Internet] [Thesis]. RCAAP; 2018. [cited 2019 Mar 18]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ucp.pt:10400.14/25494.

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

Council of Science Editors:

Miranda GD. On the application of structural credit risk models to sovereign issuers. [Thesis]. RCAAP; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.ucp.pt:10400.14/25494

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


University of Texas – Austin

26. Bukhari, Abdulwahab Abdullatif. Optimization of production allocation under price uncertainty : relating price model assumptions to decisions.

Degree: Petroleum and Geosystems Engineering, 2011, University of Texas – Austin

 Allocating production volumes across a portfolio of producing assets is a complex optimization problem. Each producing asset possesses different technical attributes (e.g. crude type), facility… (more)

Subjects/Keywords: Oil price model; Geometric Brownian Motion; Mean Reversion with jumps; Stochastic process; Decision analysis; Risk analysis; Value of information; VOI; Optimization; Uncertainty; Portfolio optimization; Crude type; Optimization under uncertainty; Risk solver platform; Gams; Linear programming; Non-linear programming; Operations research; Risk; Oil industry; Petroleum management

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

APA (6th Edition):

Bukhari, A. A. (2011). Optimization of production allocation under price uncertainty : relating price model assumptions to decisions. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-08-3780

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

Chicago Manual of Style (16th Edition):

Bukhari, Abdulwahab Abdullatif. “Optimization of production allocation under price uncertainty : relating price model assumptions to decisions.” 2011. Thesis, University of Texas – Austin. Accessed March 18, 2019. http://hdl.handle.net/2152/ETD-UT-2011-08-3780.

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

MLA Handbook (7th Edition):

Bukhari, Abdulwahab Abdullatif. “Optimization of production allocation under price uncertainty : relating price model assumptions to decisions.” 2011. Web. 18 Mar 2019.

Vancouver:

Bukhari AA. Optimization of production allocation under price uncertainty : relating price model assumptions to decisions. [Internet] [Thesis]. University of Texas – Austin; 2011. [cited 2019 Mar 18]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-08-3780.

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

Council of Science Editors:

Bukhari AA. Optimization of production allocation under price uncertainty : relating price model assumptions to decisions. [Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-08-3780

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


University of Florida

27. Brask, David Aaron. Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options.

Degree: PhD, Mathematics, 1999, University of Florida

Subjects/Keywords: Arbitrage; Brownian motion; Call options; Geometric lines; Martingales; Prices; Put options; Sine function; Stock prices; Tunnels

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APA (6th Edition):

Brask, D. A. (1999). Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options. (Doctoral Dissertation). University of Florida. Retrieved from http://ufdc.ufl.edu/AA00040916

Chicago Manual of Style (16th Edition):

Brask, David Aaron. “Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options.” 1999. Doctoral Dissertation, University of Florida. Accessed March 18, 2019. http://ufdc.ufl.edu/AA00040916.

MLA Handbook (7th Edition):

Brask, David Aaron. “Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options.” 1999. Web. 18 Mar 2019.

Vancouver:

Brask DA. Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options. [Internet] [Doctoral dissertation]. University of Florida; 1999. [cited 2019 Mar 18]. Available from: http://ufdc.ufl.edu/AA00040916.

Council of Science Editors:

Brask DA. Arbitrage pricing of several new exotic options the partial tunnel and Get-Out options. [Doctoral Dissertation]. University of Florida; 1999. Available from: http://ufdc.ufl.edu/AA00040916


University of the Western Cape

28. Karangwa, Innocent. Comparing South African financial markets behaviour to the geometric Brownian Motion Process .

Degree: 2008, University of the Western Cape

 This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and… (more)

Subjects/Keywords: Return; Geometric Brownian motion; Fractional Brownian Motion; Hurst exponent; South African financial markets; Stationary time series; Normality of data; Autocorrelation; Volatility; Kolmogorov-Simirinov statistic; Box-Ljung statistic; Dickey-Fuller test

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

APA (6th Edition):

Karangwa, I. (2008). Comparing South African financial markets behaviour to the geometric Brownian Motion Process . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/3055

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

Chicago Manual of Style (16th Edition):

Karangwa, Innocent. “Comparing South African financial markets behaviour to the geometric Brownian Motion Process .” 2008. Thesis, University of the Western Cape. Accessed March 18, 2019. http://hdl.handle.net/11394/3055.

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

MLA Handbook (7th Edition):

Karangwa, Innocent. “Comparing South African financial markets behaviour to the geometric Brownian Motion Process .” 2008. Web. 18 Mar 2019.

Vancouver:

Karangwa I. Comparing South African financial markets behaviour to the geometric Brownian Motion Process . [Internet] [Thesis]. University of the Western Cape; 2008. [cited 2019 Mar 18]. Available from: http://hdl.handle.net/11394/3055.

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

Council of Science Editors:

Karangwa I. Comparing South African financial markets behaviour to the geometric Brownian Motion Process . [Thesis]. University of the Western Cape; 2008. Available from: http://hdl.handle.net/11394/3055

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

29. Schuster, Markus. On the Riesz Representation for Optimal Stopping Problems.

Degree: MS, Mathematics, 2015, University of Wisconsin – Milwaukee

  In this thesis we summarize results about optimal stopping problems analyzed with the Riesz representation theorem. Furthermore we consider two examples: Firstly the optimal… (more)

Subjects/Keywords: American Option; Geometric Brownian Motion; Integral Representation for Excessive Function; Optimal Investment Problem; Optimal Stopping Problem; Riesz Representation; Mathematics

…locally integrable r-excessive function for a ddimensional geometric Brownian motion X. Then u… …the underlying stochastic process, which we model with a geometric Brownian motion. 3.1… …Model introduction: Multi-dimensional geometric Brownian Motion To define a d-dimensional… …geometric Brownian motion, we begin with the d-dimensional Brownian motion W = ((Wt… …ddimensional geometric Brownian motion is a diffusion X in Rd + with the components defined by 1… 

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

APA (6th Edition):

Schuster, M. (2015). On the Riesz Representation for Optimal Stopping Problems. (Thesis). University of Wisconsin – Milwaukee. Retrieved from https://dc.uwm.edu/etd/838

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

Chicago Manual of Style (16th Edition):

Schuster, Markus. “On the Riesz Representation for Optimal Stopping Problems.” 2015. Thesis, University of Wisconsin – Milwaukee. Accessed March 18, 2019. https://dc.uwm.edu/etd/838.

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

MLA Handbook (7th Edition):

Schuster, Markus. “On the Riesz Representation for Optimal Stopping Problems.” 2015. Web. 18 Mar 2019.

Vancouver:

Schuster M. On the Riesz Representation for Optimal Stopping Problems. [Internet] [Thesis]. University of Wisconsin – Milwaukee; 2015. [cited 2019 Mar 18]. Available from: https://dc.uwm.edu/etd/838.

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

Council of Science Editors:

Schuster M. On the Riesz Representation for Optimal Stopping Problems. [Thesis]. University of Wisconsin – Milwaukee; 2015. Available from: https://dc.uwm.edu/etd/838

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

30. Nguyen, Duy. Optimal asset trading under regime switching models.

Degree: PhD, Mathematics, 2013, University of Georgia

 Trading strategies in a financial market are concerned with a sequence of buying and selling. A traditional approach in order to maximize the overall profit… (more)

Subjects/Keywords: Geometric Brownian motion; HJB equations; mean reversion model; regime switching models; stochastic approximation; Wonham filter; viscosity solution.

…considered in Merhi and Zervos [34]. Under a geometric Brownian motion market model, the… …used model is the Geometric Brownian Motion (GBM) model. This is the stock price… …properties. The chapter is concluded by a brief outline of this thesis. 1.1 Geometric Brownian… …volatility, and Wt is the standard Brownian motion. The drift term a(b − Xt ) is governed… …meanreversion model, then switches to a geometric Brownian model showing a period of exponential… 

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

APA (6th Edition):

Nguyen, D. (2013). Optimal asset trading under regime switching models. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/nguyen_duy_201308_phd

Chicago Manual of Style (16th Edition):

Nguyen, Duy. “Optimal asset trading under regime switching models.” 2013. Doctoral Dissertation, University of Georgia. Accessed March 18, 2019. http://purl.galileo.usg.edu/uga_etd/nguyen_duy_201308_phd.

MLA Handbook (7th Edition):

Nguyen, Duy. “Optimal asset trading under regime switching models.” 2013. Web. 18 Mar 2019.

Vancouver:

Nguyen D. Optimal asset trading under regime switching models. [Internet] [Doctoral dissertation]. University of Georgia; 2013. [cited 2019 Mar 18]. Available from: http://purl.galileo.usg.edu/uga_etd/nguyen_duy_201308_phd.

Council of Science Editors:

Nguyen D. Optimal asset trading under regime switching models. [Doctoral Dissertation]. University of Georgia; 2013. Available from: http://purl.galileo.usg.edu/uga_etd/nguyen_duy_201308_phd

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