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Three essays in mathematical finance.
~
Wang, Ruming.
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Three essays in mathematical finance.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Three essays in mathematical finance./
作者:
Wang, Ruming.
面頁冊數:
111 p.
附註:
Source: Dissertation Abstracts International, Volume: 76-11(E), Section: B.
Contained By:
Dissertation Abstracts International76-11B(E).
標題:
Applied mathematics. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3711952
ISBN:
9781321884500
Three essays in mathematical finance.
Wang, Ruming.
Three essays in mathematical finance.
- 111 p.
Source: Dissertation Abstracts International, Volume: 76-11(E), Section: B.
Thesis (Ph.D.)--The University of Chicago, 2015.
This item is not available from ProQuest Dissertations & Theses.
This dissertation uses mathematical techniques to solve three problems in mathematical finance. The first two problems are on model-independent pricing and hedging of financial derivatives. We use asymptotic expansions to express derivative prices and implied volatilities. Then just by using the first few terms in the expansions, we get simple and accurate formulas, which can also help us find connections between different products. The last problem is on optimal trading strategies in a limit order book. Under a very general setup, we solve explicitly for a dynamic decision problem involving choosing between limit order and market order.
ISBN: 9781321884500Subjects--Topical Terms:
2122814
Applied mathematics.
Three essays in mathematical finance.
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This dissertation uses mathematical techniques to solve three problems in mathematical finance. The first two problems are on model-independent pricing and hedging of financial derivatives. We use asymptotic expansions to express derivative prices and implied volatilities. Then just by using the first few terms in the expansions, we get simple and accurate formulas, which can also help us find connections between different products. The last problem is on optimal trading strategies in a limit order book. Under a very general setup, we solve explicitly for a dynamic decision problem involving choosing between limit order and market order.
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