Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/49407
Title: ESSAYS ON MATHEMATICAL FINANCE
Authors: CHEN YINGSHAN
Keywords: trend following, liquidity premium, housing investment, voluntary retirement, derivative pricing, ratio constraint
Issue Date: 22-Aug-2013
Source: CHEN YINGSHAN (2013-08-22). ESSAYS ON MATHEMATICAL FINANCE. ScholarBank@NUS Repository.
Abstract: This thesis consists of three parts, each of which is from a research paper. The first and second parts are related to portfolio selection under transaction costs. In the first part, we assume a bull and bear regime switching market, where the switching time is not directly observable. We show that the investor is mainly a trend follower. Moreover the incomplete information about the state of the market can significantly amplify the magnitude of the effect of transaction costs on liquidity premia. In the second part, we study the optimal decision of an investor who can invest in both financial assets and illiquid risky house and who has voluntary retirement choice. We are the first to study the joint decision of illiquid housing and voluntary retirement. The third part is devoted to derivative pricing. We investigate the superhedging problem under ratio constraint through the method of variational inequality.
URI: http://scholarbank.nus.edu.sg/handle/10635/49407
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
ChenYS.pdf1.18 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

135
checked on Dec 11, 2017

Download(s)

44
checked on Dec 11, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.