We include a financial application of our probabilistic results on Parisian default risk of zero-coupon bonds. In the second part of the thesis the Parisian, occupation and local time of a drifted Brownian motion is considered, using a two-state semi-Markov process.
New versions of Parisian options are introduced based on the probabilistic results and explicit formulae for their prices are presented in form of Laplace transforms. The main focus in the last part of the thesis is on the joint probability of Parisian and hitting time of Brownian motion.
Mathematical Economics. Bayesian Statistics.
Business Statistics. Computational Statistics.
Data Analysis and Data Mining. Machine Learning.
Mathematical Statistics. Probability Theory.
Stochastic Models for Economics and for Social Sciences. Stochastic Processes. Survival Analysis.
How to apply No longer accepting applications for September entry. Step 1 Send an email to Dr. Cody Hyndman indicating your interest in the position.
Hi all, Starting to conduct my master's thesis in the spring of My background is in MSc Finance (afer the thesis), with minor in computer. Natural Computing in Computational Economics and Finance, Studies in an agent based approach, PhD Thesis, Centre for Computational Finance and.