Staff View
Semimartingales, Markov processes and their applications in mathematical finance

Descriptive

TypeOfResource
Text
TitleInfo (ID = T-1)
Title
Semimartingales, Markov processes and their applications in mathematical finance
Identifier
ETD_2950
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000056857
Language
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Mathematics
Subject (ID = SBJ-2); (authority = ETD-LCSH)
Topic
Semimartingales (Mathematics)
Subject (ID = SBJ-3); (authority = ETD-LCSH)
Topic
Markov processes--Numerical solutions
Subject (ID = SBJ-4); (authority = ETD-LCSH)
Topic
Derivative securities--Prices--Mathematical models
Abstract (type = abstract)
We show that the marginal distribution of a semimartingale can be matched by a Markov process. This is an extension of Gyngy’s theorem to discontinuous semimartingale.
PhysicalDescription
Form (authority = gmd)
electronic resource
Extent
vi, 74 p.
InternetMediaType
application/pdf
InternetMediaType
text/xml
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Note (type = vita)
Includes vita
Note (type = statement of responsibility)
by Jin Wang
Name (ID = NAME-1); (type = personal)
NamePart (type = family)
Wang
NamePart (type = given)
Jin
Role
RoleTerm (authority = RULIB)
author
DisplayForm
JIN WANG
Name (ID = NAME-2); (type = personal)
NamePart (type = family)
Feehan
NamePart (type = given)
Paul
Role
RoleTerm (authority = RULIB)
chair
Affiliation
Advisory Committee
DisplayForm
Paul Feehan
Name (ID = NAME-3); (type = personal)
NamePart (type = family)
OCONE
NamePart (type = given)
DAN
Role
RoleTerm (authority = RULIB)
internal member
Affiliation
Advisory Committee
DisplayForm
DAN OCONE
Name (ID = NAME-4); (type = personal)
NamePart (type = family)
Gundy
NamePart (type = given)
Richard
Role
RoleTerm (authority = RULIB)
internal member
Affiliation
Advisory Committee
DisplayForm
Richard Gundy
Name (ID = NAME-5); (type = personal)
NamePart (type = family)
DASKALOPOULOS
NamePart (type = given)
PANAGIOTA
Role
RoleTerm (authority = RULIB)
outside member
Affiliation
Advisory Committee
DisplayForm
PANAGIOTA DASKALOPOULOS
Name (ID = NAME-1); (type = corporate)
NamePart
Rutgers University
Role
RoleTerm (authority = RULIB)
degree grantor
Name (ID = NAME-2); (type = corporate)
NamePart
Graduate School - New Brunswick
Role
RoleTerm (authority = RULIB)
school
OriginInfo
DateCreated (qualifier = exact)
2010
DateOther (qualifier = exact); (type = degree)
2010-10
Place
PlaceTerm (type = code)
xx
RelatedItem (type = host)
TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
RelatedItem (type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
PhysicalLocation (authority = marcorg); (displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier (type = doi)
doi:10.7282/T34749KM
Genre (authority = ExL-Esploro)
ETD doctoral
Back to the top

Rights

RightsDeclaration (AUTHORITY = GS); (ID = rulibRdec0006)
The author owns the copyright to this work.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
RightsHolder (ID = PRH-1); (type = personal)
Name
FamilyName
WANG
GivenName
JIN
Role
Copyright Holder
RightsEvent (ID = RE-1); (AUTHORITY = rulib)
Type
Permission or license
DateTime
2010-09-29 22:21:40
AssociatedEntity (ID = AE-1); (AUTHORITY = rulib)
Role
Copyright holder
Name
JIN WANG
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject (ID = AO-1); (AUTHORITY = rulib)
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
RightsEvent (ID = RE-2); (AUTHORITY = rulib)
Type
Embargo
DateTime
2010-10-31
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after October 30th, 2012.
Back to the top

Technical

ContentModel
ETD
MimeType (TYPE = file)
application/pdf
MimeType (TYPE = container)
application/x-tar
FileSize (UNIT = bytes)
317440
Checksum (METHOD = SHA1)
a2520a7eb2beb45c9e02976ab5d00244ef8a50f1
Back to the top
Version 8.5.5
Rutgers University Libraries - Copyright ©2024