Stochastic modelling of financial markets with differential information

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dc.contributor.advisorOuwehand, Peter
dc.contributor.authorDamiani, F V
dc.date.accessioned2024-06-18T11:53:28Z
dc.date.available2024-06-18T11:53:28Z
dc.date.issued2008
dc.date.updated2024-06-18T11:39:50Z
dc.description.abstractMany of the fundamental results in mathematical finance are based on the assumption that all traders have access to exactly the same information, usually assumed to be the filtration generated by the history of stock prices or the history of the underlying Brownian motion. In the last fifteen years or so, many articles in the financial mathematics literature have been concerned with using techniques of stochastic calculus to model financial markets in which different traders have access to different levels of information. This thesis aims to provide a coherent account of the various approaches that have been used to model financial markets with heterogeneously informed agents. Part I of the thesis presents a description of the two branches of stochastic analysis that are required to understand the financial models: namely, Malliavin's calculus and enlargements of filtrations. Part II applies the mathematical results of Part I to provide a comprehensive presentation of the various financial models that have been introduced in the literature.
dc.identifier.apacitationDamiani, F. V. (2008). <i>Stochastic modelling of financial markets with differential information</i>. (). ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/39893en_ZA
dc.identifier.chicagocitationDamiani, F V. <i>"Stochastic modelling of financial markets with differential information."</i> ., ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/39893en_ZA
dc.identifier.citationDamiani, F.V. 2008. Stochastic modelling of financial markets with differential information. . ,Faculty of Science ,Department of Mathematics and Applied Mathematics. http://hdl.handle.net/11427/39893en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Damiani, F V AB - Many of the fundamental results in mathematical finance are based on the assumption that all traders have access to exactly the same information, usually assumed to be the filtration generated by the history of stock prices or the history of the underlying Brownian motion. In the last fifteen years or so, many articles in the financial mathematics literature have been concerned with using techniques of stochastic calculus to model financial markets in which different traders have access to different levels of information. This thesis aims to provide a coherent account of the various approaches that have been used to model financial markets with heterogeneously informed agents. Part I of the thesis presents a description of the two branches of stochastic analysis that are required to understand the financial models: namely, Malliavin's calculus and enlargements of filtrations. Part II applies the mathematical results of Part I to provide a comprehensive presentation of the various financial models that have been introduced in the literature. DA - 2008 DB - OpenUCT DP - University of Cape Town KW - Mathematics and Applied Mathematics LK - https://open.uct.ac.za PY - 2008 T1 - Stochastic modelling of financial markets with differential information TI - Stochastic modelling of financial markets with differential information UR - http://hdl.handle.net/11427/39893 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/39893
dc.identifier.vancouvercitationDamiani FV. Stochastic modelling of financial markets with differential information. []. ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/39893en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Mathematics and Applied Mathematics
dc.publisher.facultyFaculty of Science
dc.subjectMathematics and Applied Mathematics
dc.titleStochastic modelling of financial markets with differential information
dc.typeThesis / Dissertation
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMSc
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