Essays about: "Martingale process"
Found 4 essays containing the words Martingale process.
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1. Random curves and their scaling limits
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : We focus on planar Random Walks and some related stochastic processes. The discrete models are introduced and some of their core properties examined. We then turn to the question of continuous analogues, starting with the well-known convergence of the Random Walk to Brownian Motion. READ MORE
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2. Optimal Investment with Corporate Tax Payments
University essay from KTH/Matematisk statistikAbstract : This Master's thesis examines the problem of optimal investment when corporate taxes have to be paid on capital gains. Tax payments share a lot of similarities with payoff from a call option where the underlying is the firm's capital. READ MORE
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3. Optimal portfolio allocation by the martingale method in an incomplete and partially observable market
University essay from KTH/Matematisk statistikAbstract : In this thesis, we consider an agent who wants to maximize his expected utility of his terminal wealth with respect to the power utility by the martingale method. The assets that the agent can allocate his capital to are assumed to follow a stochastic differential equation and exhibits stochastic volatility. READ MORE
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4. Pricing of European type options for Levy and conditionally Levy type models
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. READ MORE
