dc.contributor.advisor |
GOSWAMI, ANINDYA |
en_US |
dc.contributor.author |
DAS, MILAN KUMAR |
en_US |
dc.date.accessioned |
2018-09-07T07:01:40Z |
|
dc.date.available |
2018-09-07T07:01:40Z |
|
dc.date.issued |
2018-09 |
en_US |
dc.identifier.uri |
http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/1165 |
|
dc.description.abstract |
This thesis studies three problems of mathematical finance. We address the appropriateness
of the use of semi-Markov regime switching geometric Brownian motion (GBM) to
model risky assets using a statistical technique. Component-wise semi-Markov (CSM) process
is a further generalization of the semi-Markov process, which becomes relevant when
multiple assets are under consideration. In this thesis, we would present the solution to
the optimization problem of portfolio-value, consisting of several stocks under risk-sensitive
criterion in a component-wise semi-Markov regime-switching jump diffusion market. Finally,
the solution to locally risk minimizing pricing of a broad class of European style
basket options would be demonstrated under a market assumption where the risky asset
prices follow CSM modulated time inhomogeneous geometric Brownian motion. |
en_US |
dc.language.iso |
en |
en_US |
dc.subject |
Portfolio |
en_US |
dc.subject |
Semi-Markov Process |
en_US |
dc.subject |
Option Pricing |
en_US |
dc.subject |
GBM |
en_US |
dc.title |
Portfolio Optimization & Option Pricing in a Component-wise Semi-Markov Modulated Market |
en_US |
dc.type |
Thesis |
en_US |
dc.publisher.department |
Dept. of Mathematics |
en_US |
dc.type.degree |
Ph.D |
en_US |
dc.contributor.department |
Dept. of Mathematics |
en_US |
dc.contributor.registration |
20133275 |
en_US |