Minimal Variance Hedging In A Discrete Time Market Driven By Markov Process

Please use this identifier to cite or link to this item: https://hdl.handle.net/10646/941

Full metadata record

DC Field	Value	Language
dc.contributor.author	Mhlanga, Farai Julius	-
dc.date.accessioned	2012-09-03T08:23:59Z	-
dc.date.available	2012-09-03T08:23:59Z	-
dc.date.issued	2012-09-03	-
dc.identifier.uri	http://hdl.handle.net/10646/941	-
dc.description.abstract	Techniques in stochastic analysis are presented in a continuous time framework.We then review methods in quadratic hedging approaches with focus on minimal variance hedging in a discrete time framework. We also consider specific exercises. We then relate the results obtained in quadratic hedging methods to the case of a discrete time market driven by a Markov process.	en_ZW
dc.language.iso	en_ZW	en_ZW
dc.subject	variance hedging	en_ZW
dc.subject	Markov process	en_ZW
dc.subject	Markov models	en_ZW
dc.subject	quadratic hedging	en_ZW
dc.subject	stochastic analysis	en_ZW
dc.title	Minimal Variance Hedging In A Discrete Time Market Driven By Markov Process	en_ZW
thesis.degree.advisor	Di Nunno, G. (Prof.)	-
thesis.degree.country	Zimbabwe	en_ZW
thesis.degree.discipline	Mathematics	en_ZW
thesis.degree.faculty	Faculty of Science	en_ZW
thesis.degree.grantor	University of Zimbabwe	en_ZW
thesis.degree.grantoremail	specialcol@uzlib.uz.ac.zw
thesis.degree.level	MSc	en_ZW
thesis.degree.name	Master of science in Mathematics	en_ZW
thesis.degree.thesistype	Thesis	en_ZW
dc.date.defense	2005-06-29	-
Appears in Collections:	Faculty of Science e-Theses Collection

Files in This Item:

File	Description	Size	Format
Mhlanga-Farai-Msc-Thesis-2005.pdf		354.93 kB	Adobe PDF	View/Open

DSpace JSPUI