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http://hdl.handle.net/11129/6103
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| Title: | Stochastic Calculus with Applications to Finance |
| Authors: | Basharov, Aghamirza (Supervisor)
Fernandez, Arran (Co-Supervisor)
Kandeh, Bubacarr
Eastern Mediterranean University, Faculty of Arts and Sciences, Dept. of Mathematics |
| Keywords: | Applied Mathematics and Computer Science Department
Calculus--Stochastic processes
Finance--Mathematical Models
Mathematical Finance--Stochastic Analysis
Stochastic and Wiener Processes, Ito calculus, Instantaneous Interest rate models, Continuous time pricing of the European call option, Black Scholes formula |
| Issue Date: | Jul-2020 |
| Publisher: | Eastern Mediterranean University (EMU) - Doğu Akdeniz Üniversitesi (DAÜ) |
| Citation: | Kandeh, Bubacarr. (2020). Stochastic Calculus with Applications to Finance. Thesis (M.S.), Eastern Mediterranean University, Institute of Graduate Studies and Research, Dept. of Mathematics, Famagusta: North Cyprus. |
| Abstract: | The two most fundamental aspects of mathematical finance are; portfolio optimization
and portfolio pricing. Portfolio optimization uses concepts from linear algebra and
ordinary multi-variable calculus. On the other hand, portfolio pricing is modelled by
stochastic calculus. In this work we will focus our interest in the development of
stochastic calculus and how it is applied to finance in Portfolio Pricing.
OZ:¨
Matematiksel finansın en temel iki yon¨ u; portf ¨ oy optimizasyonu ve portf ¨ oy¨
fiyatlandırmasıdır. Portfoy optimizasyonu, do ¨ grusal cebirden ve sıradan c¸ok ˘
degis¸kenli hesaplardan kavramları kullanır. ˘ Ote yandan, portf ¨ oy fiyatlaması stokastik ¨
hesapla modellenmis¸tir. Bu c¸alıs¸mada stokastik analizin gelis¸imine ve Portfoy¨
Fiyatlandırmasında finansmana nasıl uygulandıgına odaklanaca ˘ gız. |
| Description: | Master of Science in Applied Mathematics and Computer Science. Institute of Graduate Studies and Research. Thesis (M.S.) - Eastern Mediterranean University, Faculty of Arts and Sciences, Dept. of Mathematics, 2020. Co-Supervisor: Asst. Prof. Dr. Arran Fernandez Supervisor: Prof. Dr. Aghamirza Bashirov |
| URI: | http://hdl.handle.net/11129/6103 |
| Appears in Collections: | Theses (Master's and Ph.D) – Mathematics
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