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Optimal decisions in finance: passport options and the bonus problem

Abstract:

The object of this thesis is the study of some new financial models. The common feature is that they all involve optimal decisions. Some of the decisions take the form of a control and we enter the theory of stochastic optimal control and of Hamilton-Jacobi-Bellman (HJB) equations. Other decisions are "binary" and we deal with the theory of optimal stopping and free boundary problems.

Throughout the thesis we will prefer a heuristic and intuitive approach to a too technical one which...

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Institution:
University of Oxford
Research group:
OCIAM
Oxford college:
Somerville College
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute

Contributors

Role:
Supervisor
Role:
Supervisor
Publication date:
2000
Type of award:
DPhil
Level of award:
Doctoral
URN:
uuid:292c36da-ce43-481d-ad45-e5e859ca3688
Local pid:
ora:5183

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