Now showing items 1-2 of 2

    • Martingale Property and Pricing for Time-homogeneous Diffusion Models in Finance 

      Cui, Zhenyu (University of Waterloo, 2013-08-09)
      The thesis studies the martingale properties, probabilistic methods and efficient unbiased Monte Carlo simulation methods for various time-homogeneous diffusion models commonly used in mathematical finance. Some of the ...
    • 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 ...


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