Show simple item record

dc.contributor.authorCui, Zhenyu
dc.date.accessioned2010-04-28 14:12:27 (GMT)
dc.date.available2010-04-28 14:12:27 (GMT)
dc.date.issued2010-04-28T14:12:27Z
dc.date.submitted2010
dc.identifier.urihttp://hdl.handle.net/10012/5096
dc.description.abstractIn 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 subordinator process. I divide the time change method into two cases: deterministic time change and stochastic time change. The difference lies in whether the subordinator process is a deterministic function of time or a stochastic process of time. Time-changed Brownian motion with deterministic time change provides a new viewpoint to deal with option pricing under stochastic interest rates and I utilize this idea in pricing various exotic options under stochastic interest rates. Time-changed Brownian motion with stochastic time change is more complicated and I give the equivalence in law relation governing the ``original time" and the ``new stochastic time" under different clocks. This is readily applicable in pricing a new product called ``timer option". It can also be used in pricing barrier options under the Heston stochastic volatility model. Conclusion and further research directions in exploring the ideas of time change method in other areas of quantitative finance are in the last chapter.en
dc.language.isoenen
dc.publisherUniversity of Waterlooen
dc.subjecttime changeen
dc.subjectstochastic volatilityen
dc.subjectstochastic interest ratesen
dc.subjectexotic optionen
dc.titleTime change method in quantitative financeen
dc.typeMaster Thesisen
dc.pendingfalseen
dc.subject.programQuantitative Financeen
uws-etd.degree.departmentDean of Mathematicsen
uws-etd.degreeMaster of Quantitative Financeen
uws.typeOfResourceTexten
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record


UWSpace

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