Now showing items 1-2 of 2

    • The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity 

      Wilson, David Edward Alexander (University of Waterloo, 2018-10-26)
      This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ...
    • Time change method in quantitative finance 

      Cui, Zhenyu (University of Waterloo, 2010-04-28)
      In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a ...


      University of Waterloo Library
      200 University Avenue West
      Waterloo, Ontario, Canada N2L 3G1
      519 888 4883

      All items in UWSpace are protected by copyright, with all rights reserved.

      DSpace software

      Service outages