Minimal Variance Hedging In A Discrete Time Market Driven By Markov Process

Mhlanga, Farai Julius (2005) Minimal Variance Hedging In A Discrete Time Market Driven By Markov Process. UNSPECIFIED thesis, UNSPECIFIED.

Full text not available from this repository.
Official URL: http://hdl.handle.net/10646/941

Abstract

Techniques in stochastic analysis are presented in a continuous time framework.We then review methods in quadratic hedging approaches with focus on minimal variance hedging in a discrete time framework. We also consider specific exercises. We then relate the results obtained in quadratic hedging methods to the case of a discrete time market driven by a Markov process.

Item Type: Thesis (UNSPECIFIED)
Uncontrolled Keywords: variance hedging,Markov process,Markov models,quadratic hedging,stochastic analysis
Divisions: Universities > State Universities > University of Zimbabwe
Depositing User: Mr. Edmore Sibanda
Date Deposited: 07 Dec 2015 01:00
Last Modified: 07 Dec 2015 01:00
URI: http://researchdatabase.ac.zw/id/eprint/1555

Actions (login required)

View Item View Item