國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Topics in optimal stopping and funda...

University of Michigan.

Topics in optimal stopping and fundamental theorem of asset pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Topics in optimal stopping and fundamental theorem of asset pricing.
作者:	Zhou, Zhou.
面頁冊數:	199 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-09(E), Section: B.
附註:	Adviser: Erhan Bayraktar.
Contained By:	Dissertation Abstracts International76-09B(E).
標題:	Applied mathematics.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3701932
ISBN:	9781321728507

Topics in optimal stopping and fundamental theorem of asset pricing.
Zhou, Zhou.

Topics in optimal stopping and fundamental theorem of asset pricing. - 199 p.

Source: Dissertation Abstracts International, Volume: 76-09(E), Section: B.

Thesis (Ph.D.)--University of Michigan, 2015.

In this thesis, we investigate several problems in optimal stopping and fundamental theorem of asset pricing (FTAP).

ISBN: 9781321728507Subjects--Topical Terms:

377601
Applied mathematics.

Topics in optimal stopping and fundamental theorem of asset pricing.
LDR:03166nmm a2200349 4500 001 476066
005 20160418090147.5
008 160517s2015 ||||||||||||||||| ||eng d
020 $a 9781321728507
035 $a (MiAaPQ)AAI3701932
035 $a AAI3701932
040 $a MiAaPQ $c MiAaPQ
100 1 $a Zhou, Zhou. $3 730322
245 1 0 $a Topics in optimal stopping and fundamental theorem of asset pricing.
300 $a 199 p.
500 $a Source: Dissertation Abstracts International, Volume: 76-09(E), Section: B.
500 $a Adviser: Erhan Bayraktar.
502 $a Thesis (Ph.D.)--University of Michigan, 2015.
520 $a In this thesis, we investigate several problems in optimal stopping and fundamental theorem of asset pricing (FTAP).
520 $a In Chapter II, we study the controller-stopper problems with jumps. By a backward induction, we decompose the original problem with jumps into controller- stopper problems without jumps. Then we apply the decomposition result to indifference pricing of American options under multiple default risk.
520 $a In Chapters III and IV, we consider zero-sum stopping games, where each player can adjust her own stopping strategies according to the other's behavior. We show that the values of the games and optimal stopping strategies can be characterized by corresponding Dynkin games. We work in discrete time in Chapter III and continuous time in Chapter IV.
520 $a In Chapter V, we analyze an optimal stopping problem, in which the investor can peek epsilon amount of time into the future before making her stopping decision. We characterize the solution of this problem by a path-dependent reflected backward stochastic differential equation. We also obtain the order of the value as epsilon goes to zero.
520 $a In Chapters VI-VIII, we investigate arbitrage and hedging under non-dominated model uncertainty in discrete time, where stocks are traded dynamically and liquid European-style options are traded statically. In Chapter VI we obtain the FTAP and hedging dualities under some convex and closed portfolio constraints. In Chapter VII we study arbitrage and super-hedging in the case when the liquid options are quoted with bid-ask spreads. In Chapter VIII we investigate the dualities for sub and super-hedging prices of American options. Note that for these three chapters, since we work in the frameworks lacking dominating measures, many classical tools in probability theory cannot be applied.
520 $a In Chapter IX, we consider arbitrage, hedging, and utility maximization in a given model, where stocks are available for dynamic trading, and both European and American options are available for static trading. Using a separating hyperplane argument, we get the result of FTAP, which implies the dualities of hedging prices. Then the hedging dualities lead to the duality for the utility maximization.
590 $a School code: 0127.
650 4 $a Applied mathematics. $3 377601
650 4 $a Mathematics. $3 184409
650 4 $a Finance. $3 183252
690 $a 0364
690 $a 0405
690 $a 0508
710 2 $a University of Michigan. $b Applied and Interdisciplinary Mathematics. $3 730323
773 0 $t Dissertation Abstracts International $g 76-09B(E).
790 $a 0127
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3701932