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| Titre : | Conditional full support property and Modeling of financial markets in continuous time |
| Auteurs : | A. Kandouci, Directeur de thèse ; Soumia, Dani, Auteur |
| Type de document : | texte imprimé |
| Editeur : | Alger: univ-saida, 2016 |
| Format : | 80 p. / fig. ;tab. / 27 cm. |
| Accompagnement : | +Cd Rom |
| Note générale : | Bibliogr. |
| Langues: | Anglais |
| Catégories : | |
| Mots-clés: | Conditional full ; Support property ; Modeling of financial markets ; Continuous time |
| Résumé : | Stochastic portfolio theory is a relatively new branch of mathematical finance. One of the most important notions here is absence of arbitrage is the cornerstone of mode in mathematical finance. This condition implies the existence of a probability, called risk-neutral, equivalent to the objective probability as the price of discounted assets is a martingale. In this thesis we study new approaches that either restrict the class of allowed trading strategies or introduce transaction costs allow for instance for the use of condition namely conditional full support which guarantees the absence of arbitrage without calculating the risk neutral probability and provide new applications of this condition in finance. |
| Note de contenu : |
Contents:
1. Preliminary Background Basic definitions Brownian motion Fractional Brownian Motion Stochastic Integrals with respect to Brownian Motion Stochastic Integration with respect to Fractional Brownian Motion 2. Modelisation of Financial Markets Introduction to financial markets Arbitrage Stochastic models Valuation of financial markets by arbitrage 3. Conditional Full Support and applications to finance Basic results on the conditional full support property Consistent Price System and Conditional Full support Conditional full support for stochastic integrals Main results. |
Exemplaires (2)
| Code-barres | Cote | Support | Localisation | Section | Disponibilité |
|---|---|---|---|---|---|
| SCT01291 | TMDO00013 | Périodique | Salle des Thèses | Mathématique | Exclu du prêt |
| SCT01292 | TMDO00014 | Périodique | Salle des Thèses | Mathématique | Disponible |
Documents numériques (2)
 Conditional full support property and Modeling of financial markets in continuous Adobe Acrobat PDF |
Résumé Adobe Acrobat PDF |
