Stochastic Calculus with Applications to Finance

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Kandehbubacarr.pdf (264.19 KB)

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2020-07

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Eastern Mediterranean University (EMU) - Doğu Akdeniz Üniversitesi (DAÜ)

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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.

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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

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

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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.

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https://hdl.handle.net/11129/6103

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Theses (Master's and Ph.D) – Mathematics

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