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Filtering by: Advisor Waymire, Edward Remove constraint Advisor: Waymire, Edward Committee Member Schmittner, Andreas Remove constraint Committee Member: Schmittner, Andreas

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  • Valuing options in a discrete time regime switching model with jumps

    Creator:
    Chunikhina, Evgenia V.
    Abstract:
    In this work, we provide a detailed analysis of a discrete time regime switching financial market model with jumps. We consider the model under two different scenarios: known and unknown initial regime. For each scenario we investigated conditions that guarantee the model's completeness. We find that the model under consideration...
    Resource Type:
    Masters Thesis
    Full Text:
    ACKNOWLEDGEMENTS I am most grateful to my thesis adviser Professor Edward C. Waymire for his guidance and

  • Branching random walk and probability problems from physics and biology

    Creator:
    Johnson, Torrey
    Abstract:
    This thesis studies connections between disorder type in tree polymers and the branching random walk and presents an application to swarm site-selection. Chapter two extends results on tree polymers in the infinite volume limit to critical strong disorder. Almost sure (a.s.) convergence in the infinite volume limit is obtained for...
    Resource Type:
    Dissertation
    Full Text:
    and Probability Problems from Physics and Biology Abstract approved: Edward C Waymire This thesis