title: On Some Classes of Continuous Time Series Models and Their Use in Financial Economics
creator: Surulescu, Nicolae Mircea
subject: 510
subject: 510 Mathematics
description: This thesis considers continuous-time series processes defined by classical stochastic differential equations and investigates some of their applications to mathematical finance with a focus on analytical approximations for some important financial quantities like derivative prices or firm default probability in a more complex and realistic framework than the one used by Black and Scholes (1973) and Merton (1973, 1974).  In the first part some classes of continuous-time series  models are introduced, which are further used to construct new financial models for asset  and volatility dynamics. We illustrate some of them with the aid of simulation and estimation examples. In the second  part of this thesis, we derive new results for derivative pricing  and credit risk problems in stochastic volatility  models driven by some continuous-time  series processes. 
date: 2010
type: Dissertation
type: info:eu-repo/semantics/doctoralThesis
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/10970/1/tzfinal.pdf
identifier: DOI:10.11588/heidok.00010970
identifier: urn:nbn:de:bsz:16-opus-109701
identifier:   Surulescu, Nicolae Mircea  (2010) On Some Classes of Continuous Time Series Models and Their Use in Financial Economics.  [Dissertation]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/10970/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng