UNT Theses and Dissertations - 5 Matching Results

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A New Class of Stochastic Volatility Models for Pricing Options Based on Observables as Volatility Proxies

Description: One basic assumption of the celebrated Black-Scholes-Merton PDE model for pricing derivatives is that the volatility is a constant. However, the implied volatility plot based on real data is not constant, but curved exhibiting patterns of volatility skews or smiles. Since the volatility is not observable, various stochastic volatility models have been proposed to overcome the problem of non-constant volatility. Although these methods are fairly successful in modeling volatilities, they still re… more
Date: December 2021
Creator: Zhou, Jie
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
open access

On the Subspace Dichotomy of Lp[0; 1] for 2 < p < ∞

Description: The structure and geometry of subspaces of a given Banach space is among the most fundamental questions in Functional Analysis. In 1961, Kadec and Pelczyński pioneered a field of study by analyzing the structures of subspaces and basic sequences in L_p[0,1] under a naturally occurring restriction of p, 2 < p <\infty. They proved that any infinite-dimensional subspace X\subset L_p[0,1] for 2<p<\infty must either be isomorphic to l_2 and complemented in L_p or must contain a complemented subspace… more
Date: August 2021
Creator: James, Christopher W
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
open access

Optimal Look-Ahead Stopping Rules for Simple Random Walk

Description: In a stopping rule problem, a real-time player decides to stop or continue at stage n based on the observations up to that stage, but in a k-step look-ahead stopping rule problem, we suppose the player knows k steps ahead. The aim of this Ph.D. dissertation is to study this type of prophet problems for simple random walk, determine the optimal stopping rule and calculate the expected return for them. The optimal one-step look-ahead stopping rule for a finite simple random walk is determined in … more
Date: August 2021
Creator: Sharif Kazemi, Zohreh
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries

Optimal Pair-Trading Decision Rules for a Class of Non-linear Boundary Crossings by Ornstein-Uhlenbeck Processes

Description: The most useful feature used in finance of the Ornstein-Uhlenbeck (OU) stochastic process is its mean-reverting property: the OU process tends to drift towards its long- term mean (its equilibrium state) over time. This important feature makes the OU process arguably the most popular statistical model for developing best pair-trading strategies. However, optimal strategies depend crucially on the first passage time (FPT) of the OU process to a suitably chosen boundary and its probability densi… more
Date: December 2021
Creator: Tamakloe, Emmanuel Edem Kwaku
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries

Radial Solutions of Singular Semilinear Equations on Exterior Domains

Description: We prove the existence and nonexistence of radial solutions of singular semilinear equations Δu + k(x)f(u)=0 with boundary condition on the exterior of the ball with radius R>0 in ℝ^N such that lim r →∞ u(r)=0, where f: ℝ \ {0} →ℝ is an odd and locally Lipschitz continuous nonlinear function such that there exists a β >0 with f <0 on (0, β), f >0 on (β, ∞), and K(r) ~ r^-α for some α >0.
Date: May 2021
Creator: Ali, Mageed Hameed
Item Type: Refine your search to only Thesis or Dissertation
Partner: UNT Libraries
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