Compound Lévy random bridges and credit risky asset pricing

Simple item page
dc.contributor.advisorKünzi, Hans-Peter Aen_ZA
dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.advisorMataramvura, Sureen_ZA
dc.contributor.authorIkpe, Dennis Chinemeremen_ZA
dc.date.accessioned2016-07-25T11:25:55Z
dc.date.available2016-07-25T11:25:55Z
dc.date.issued2016en_ZA
dc.description.abstractIn this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance.en_ZA
dc.identifier.apacitationIkpe, D. C. (2016). <i>Compound Lévy random bridges and credit risky asset pricing</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/20681en_ZA
dc.identifier.chicagocitationIkpe, Dennis Chinemerem. <i>"Compound Lévy random bridges and credit risky asset pricing."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2016. http://hdl.handle.net/11427/20681en_ZA
dc.identifier.citationIkpe, D. 2016. Compound Lévy random bridges and credit risky asset pricing. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ikpe, Dennis Chinemerem AB - In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the Markov property, dynamic consistency, measure changes and increment distributions. Thereafter, we consider applications in credit risky asset pricing. We generalize the information based credit risky asset pricing framework to incorporate prematurity default possibilities. Lastly we derive closed-form expressions for default trends and intensities for credit risky bonds with CLRB as the background partial information process. We obtain analytical expressions for specific CLRBs. The second part looks at application of stochastic filtering in the current information based asset pricing framework. First, we formulate credit risky asset pricing in the information-based framework as a filtering problem under incomplete information. We derive the Kalman-Bucy filter in one dimension for bridges of Lévy processes with a given finite variance. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Compound Lévy random bridges and credit risky asset pricing TI - Compound Lévy random bridges and credit risky asset pricing UR - http://hdl.handle.net/11427/20681 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20681
dc.identifier.vancouvercitationIkpe DC. Compound Lévy random bridges and credit risky asset pricing. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20681en_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.otherFinancial Marketsen_ZA
dc.subject.otherRisk Managementen_ZA
dc.titleCompound Lévy random bridges and credit risky asset pricingen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_sci_2016_ikpe_dennis_chinemerem.pdf
Size:
844.92 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
PhD / Doctoral