Variance curve models: finite dimensional realizations and beyond

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Author
Akdoğan, Ozan Bariş
Date
2016
Type
  • Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-010797065
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Contributors
Examiner: Teichmann, Josef
Examiner: Farkas, Erich Walter
Publisher
ETH Zürich
Subject
VOLATILITÄT (FINANZEN); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); EVOLUTIONSGLEICHUNGEN (ANALYSIS); DIFFUSIONSPROZESSE (WAHRSCHEINLICHKEITSRECHNUNG); STOCHASTISCHE DIFFERENTIALGLEICHUNGEN (WAHRSCHEINLICHKEITSRECHNUNG); STOCHASTISCHE INTEGRALE (WAHRSCHEINLICHKEITSRECHNUNG); VOLATILITY (FINANCE); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); EVOLUTION EQUATIONS (MATHEMATICAL ANALYSIS); DIFFUSION PROCESSES (PROBABILITY THEORY); STOCHASTIC DIFFERENTIAL EQUATIONS (PROBABILITY THEORY); STOCHASTIC INTEGRALS (PROBABILITY THEORY)
Organisational unit
02000 - Dep. Mathematik / Dep. of Mathematics
03845 - Teichmann, Josef / Teichmann, Josef  
Notes
Dissertation. ETH Zürich. 2016. No. 23359.
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