Simulation of asset prices using Lévy processes

dc.contributor.advisorOuwehand, Peteren_ZA
dc.contributor.authorRiemer, Mark Len_ZA
dc.date.accessioned2014-07-31T08:10:53Z
dc.date.available2014-07-31T08:10:53Z
dc.date.issued2008en_ZA
dc.descriptionIncludes bibliographical references (leaves 93-97).
dc.description.abstractThis dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them.en_ZA
dc.identifier.apacitationRiemer, M. L. (2008). <i>Simulation of asset prices using Lévy processes</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4926en_ZA
dc.identifier.chicagocitationRiemer, Mark L. <i>"Simulation of asset prices using Lévy processes."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/4926en_ZA
dc.identifier.citationRiemer, M. 2008. Simulation of asset prices using Lévy processes. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Riemer, Mark L AB - This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Simulation of asset prices using Lévy processes TI - Simulation of asset prices using Lévy processes UR - http://hdl.handle.net/11427/4926 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4926
dc.identifier.vancouvercitationRiemer ML. Simulation of asset prices using Lévy processes. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4926en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleSimulation of asset prices using Lévy processesen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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