Some topics in Mathematical Finance: Asian basket option pricing, Optimal investment strategies

Some topics in Mathematical Finance: Asian basket option pricing, Optimal investment strategies

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This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates. In Chapter 2, we concentrate upon the derivation of bou...

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Bibliographic Details
Main Author: Diallo, Ibrahima
Other Authors: Deelstra Griselda
Format: Others
Language:en
Published: Universite Libre de Bruxelles 2010
Subjects:
asian basket options
moment matching
investment strategies
interest rates
inflation
comonotonicity
Online Access:http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03092010-145826/

Internet

http://theses.ulb.ac.be/ETD-db/collection/available/ULBetd-03092010-145826/

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