University of Waterloo >
Electronic Theses and Dissertations (UW) >
Please use this identifier to cite or link to this item:
|Title: ||Hedging Contingent Claims in Markets with Jumps|
|Authors: ||Kennedy, J. Shannon|
|Approved Date: ||25-Sep-2007 |
|Date Submitted: ||20-Sep-2007 |
|Abstract: ||Contrary to the
an option-pricing model which incorporates the possibility of
accurately reflects the
evolution of stocks in the real world.
However, hedging a contingent claim
in such a model is a non-trivial issue: in many cases, an infinite
number of hedging instruments are required to eliminate the
risk of an option position.
This thesis develops practical techniques for hedging contingent claims in
markets with jumps. Both regime-switching and
jump-diffusion models are considered.|
|Program: ||Applied Mathematics|
|Department: ||Applied Mathematics|
|Degree: ||Doctor of Philosophy|
|Appears in Collections:||Electronic Theses and Dissertations (UW)|
All items in UWSpace are protected by copyright, with all rights reserved.