Mhlanga, Farai Julius (2005) Minimal Variance Hedging in a Discrete Time Market Driven by Markov Process. Masters thesis, University of Zimbabwe.
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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.
| Item Type: | Thesis (Masters) |
|---|---|
| Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
| Divisions: | Africana |
| Depositing User: | Tim Khabala |
| Date Deposited: | 09 May 2018 11:37 |
| Last Modified: | 09 May 2018 11:37 |
| URI: | http://thesisbank.jhia.ac.ke/id/eprint/3987 |
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