Degree Name
MS (Master of Science)
Program
Mathematical Sciences
Date of Award
5-2013
Committee Chair or Co-Chairs
Dr. Anant Godbole
Committee Members
Dr.Jeff Knisley, Dr. Frederick Norwood
Abstract
Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .
Document Type
Thesis - unrestricted
Recommended Citation
Osei, Ofosuhene, "Level Crossing Times in Mathematical Finance" (2013). Electronic Theses and Dissertations. Paper 1126. https://dc.etsu.edu/etd/1126
Copyright
Copyright by the authors.
Included in
Mathematics Commons, Other Physical Sciences and Mathematics Commons, Other Statistics and Probability Commons, Portfolio and Security Analysis Commons