publication . Doctoral thesis . 2015

Fourier Methods for Multidimensional Problems and Backward SDEs in Finance and Economics

Ruijter, Marjon;
Open Access English
  • Published: 06 Feb 2015
  • Country: Netherlands
Abstract
In this thesis we deal with processes with uncertainties, such as financial asset prices and the global temperature. We model their evolutions by so-called stochastic processes. Many of these stochastic processes are based on the Wiener process, whose increments are normally distributed. Other models may contain jump components, to model, for example, economic disasters or degradation failures. An important class of models is the Levy class, where successive increments are independent and statistically identical over different time intervals of the same length. This may give computational advantages. A well-known application of stochastic processes is in financi...
Subjects
free text keywords: fourier method, option pricing, BSDE
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Doctoral thesis . 2015
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Doctoral thesis . 2015
Provider: NARCIS
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publication . Doctoral thesis . 2015

Fourier Methods for Multidimensional Problems and Backward SDEs in Finance and Economics

Ruijter, Marjon;