Shodhganga : a reservoir of Indian theses @ INFLIBNET
The Shodhganga@INFLIBNET Centre provides a platform for research students to deposit their Ph.D. theses and make it available to the entire scholarly community in open access.
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10603/484932
| Title: | Pricing and hedging of derivatives in markov modulated markets through benchmark approach |
| Researcher: | Raju, I. Venkat Appal |
| Guide(s): | Selvaraju, N |
| Keywords: | Mathematics Physical Sciences |
| University: | Indian Institute of Technology Guwahati |
| Completed Date: | 2011 |
| Abstract: | The aim of the thesis is to study the pricing and hedging problems for contingent claims for various Markov modulated models through the benchmark approach This approach is based on a speciDc benchmark portfolio known as the growth optimal portfolio GOP GOP has been obtained for diDerent market models using the stochastic control method When used as a numeraire GOP ensures that all the benchmarked price processes are supermartingales Using this supermartingale nature of benchmarked price |
| Pagination: | Not Available |
| URI: | http://hdl.handle.net/10603/484932 |
| Appears in Departments: | DEPARTMENT OF MATHEMATICS |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 01_fulltext.pdf | Attached File | 7.06 MB | Adobe PDF | View/Open |
| 04_abstract.pdf | 190.67 kB | Adobe PDF | View/Open | |
| 80_recommendation.pdf | 235.14 kB | Adobe PDF | View/Open |
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