Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/134578
Title: APPLICATIONS OF OPTIMAL CONTROL AND STOCHASTIC REPRESENTATION IN FINANCIAL MODELING
Authors: YANG CHEN
Keywords: Capital gains tax, Dual-purpose funds, Nonlocal problems, Optimal control, Optimal tax timing, Stochastic representation
Issue Date: 18-Aug-2016
Citation: YANG CHEN (2016-08-18). APPLICATIONS OF OPTIMAL CONTROL AND STOCHASTIC REPRESENTATION IN FINANCIAL MODELING. ScholarBank@NUS Repository.
Abstract: This thesis contains two parts. In Part I, we develop an optimal tax-timing model that takes into account the asymmetric tax rates structure on capital gains and limited tax deductibility of capital losses. This model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. We also find that effective tax rates can decrease as the short-term capital gains tax rates increase. In Part II we study the valuation of dual-purpose funds in China. We provide a mathematical formulation of the fund contract, and discuss its pricing under the Black-Scholes framework. Motivated by the fund valuation, we establish a stochastic representation for solutions to parabolic PDEs with nonlocal terminal and boundary conditions, in terms of a space-time diffusion process that jumps at the domain boundary. This representation result gives a PDE characterization of the fund value.
URI: http://scholarbank.nus.edu.sg/handle/10635/134578
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Yang Chen.pdf1.07 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

52
checked on Jun 13, 2019

Download(s)

1
checked on Jun 13, 2019

Google ScholarTM

Check


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