Optimal timing decisions in financial markets

• Main Author: Vannestål, Martin
• Format: Doctoral Thesis
• Language: English
• Published: Uppsala universitet, Matematiska institutionen 2017
• Subjects: optimal stopping; American options; optimal stopping games; incomplete information
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-313266; http://nbn-resolving.de/urn:isbn:978-91-506-2617-9

This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. In all the articles, we consider a financial market different from the standard Black-Scholes market. In two of the articles this difference consists in allowing for jumps of the underlying process. In the other three, the difference is that we have incomplete information about the drift of the underlying process. This is a natural assumption in many situations, including the case of a true buyer of an American option, trading in a market which exhibits trends, and optimal liquidation of an asset in the presence of a bubble. These examples are all addressed in this thesis.