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Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
In financial markets under uncertainty, the classical Black-Scholes model cannot explain the empirical facts such as fat tails observed in the probability density. To overcome this drawback, during the last decade, Lévy process and...
Calibration of Multivariate Generalized Hyperbolic Distributions Using the EM Algorithm, with Applications in Risk Management, Portfolio Optimization and Portfolio Credit Risk
The distributions of many financial quantities are well-known to have heavy tails, exhibit skewness, and have other non-Gaussian characteristics. In this dissertation we study an especially promising family: the multivariate generalized...
The objective of this dissertation is to study impulse control problems in situations where the volatility of the underlying process is not constant. First, we explore the case where the dynamics of the underlying process are modified...
This dissertation includes the application of analysis-of-variance (ANOVA) expansions to analyze solutions of parameter dependent partial differential equations and the analysis and finite element approximations of the Stokes equations...
In portfolio risk management, a global covariance matrix forecast often needs to be adjusted by changing diagonal blocks corresponding to specific sub-markets. Unless certain constraints are obeyed, this can result in the loss of...
The use of time-inhomogeneous additive models in option pricing has gained attention in recent years due to their potential to adequately price options across both strike and maturity with relatively few parameters. In this thesis two...
We develop a spectral element method to price European options under the Black-Scholes model, Merton's jump diffusion model, and Heston's stochastic volatility model with one or two assets. The method uses piecewise high order Legendre...
Two stochastic volatility extensions of the Swap Market Model, one with jumps and the other without, are derived. In both stochastic volatility extensions of the Swap Market Model the instantaneous volatility of the forward swap rates...
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