DSpace Repository

Two Essays in Financial Econometrics

Show simple item record

dc.contributor.advisor Xing, Haipeng en_US
dc.contributor.advisor Zhu, Wei en_US
dc.contributor.author Yu, Yang en_US
dc.contributor.other Department of Applied Mathematics and Statistics. en_US
dc.date.accessioned 2017-09-20T16:50:23Z
dc.date.available 2017-09-20T16:50:23Z
dc.date.issued 2013-12-01 en_US
dc.identifier.uri http://hdl.handle.net/11401/76482 en_US
dc.description 151 pg. en_US
dc.description.abstract This dissertation research explores two interesting problems in financial econometrics. In part one, we considers the problem of pricing European options in the presence of proportional transaction costs when the underlying stock price follows a jump-diffusion process. Based on utility maximization approach, the option pricing and hedging can be reformulated as a singular stochastic control problem. And furthermore, the value functions of the problem are the solutions of a free boundary problem, in particular, a partial integro-differential equation, under different boundary conditions. And we develop a coupled backward induction algorithm which is based on the connection between the free boundary problem and optimal stopping problem. And numerical examples are also provided. In part two, we focus on the dynamics of default risk with stochastic covariates in the presence of structural breaks. We consider a Cox type intensity model which is a classic model in survival analysis to deal with the counting process. Since it is widely used to to analyze the dynamics of default of firms to the effect of possible stochastic covariate processes. We assume there are multiple unknown structural breaks in the regression coefficients and we develop an estimation procedure for the regression coefficients and structural break points, which combines recent developments in estimating equations for counting process and inference on multiple structural breaks. en_US
dc.description.sponsorship This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree. en_US
dc.format Monograph en_US
dc.format.medium Electronic Resource en_US
dc.language.iso en_US en_US
dc.publisher The Graduate School, Stony Brook University: Stony Brook, NY. en_US
dc.subject.lcsh Applied mathematics en_US
dc.subject.other default risk, free-boundary problem, intensity model, option price, stochastic control, time-varying coefficients en_US
dc.title Two Essays in Financial Econometrics en_US
dc.type Dissertation en_US
dc.mimetype Application/PDF en_US
dc.contributor.committeemember Rachev, Svetlozar en_US
dc.contributor.committeemember Fang, Yixin. en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Advanced Search

Browse

My Account