Time change method in quantitative finance
In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a subordinator process. I divide the time change method into two cases: deterministic tim...
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| Language: | en |
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2010
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| Online Access: | http://hdl.handle.net/10012/5096 |