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Transform analysis of affine jump diffusion processes with applications to asset pricing
Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2008.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613652527349760 |
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| access_status_str | Open Access |
| author2 | Van Zyl, A.J. |
| author_browse | Van Zyl, A.J. |
| author_facet | Van Zyl, A.J. |
| collection | Thesis |
| dc_rights_str_mv | © 2008, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2008. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/25445 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:39:33.363Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/25445 Transform analysis of affine jump diffusion processes with applications to asset pricing Van Zyl, A.J. claude.bambe@up.ac.za Bambe Moutsinga, Claude Rodrigue Asset pricing Financial instrument Affine jump diffusion Option pricing UCTD Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2008. This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L´evy processes with their properties. We then introduce Affine jump diffusion processes which are basically a particular class of L´evy processes. Our motivation for these is driven by the fact that many financial models are built on them. Affine jump diffusion processes present good analytical properties that allow one to get close form formulas for a wide range of option pricing. The approach we use here is based on the paper by Duffie D, Pan J, and Singleton K. An example will show how incorporating parameters such as the volatility of the underlying asset in the model, can influence the resulting price of the financial instrument under consideration. We will also show how this class of models incorporate well known models, specially those used to model interest rates dynamics, like for instance the Vasicek model. Mathematics and Applied Mathematics unrestricted 2013-09-06T21:34:11Z 2008-08-19 2013-09-06T21:34:11Z 2008-04-11 2008-08-19 2008-06-11 Dissertation Bambe Moutsinga, CR 2008, Transform analysis of affine jump diffusion processes with applications to asset pricing, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25445 > E992/gm http://hdl.handle.net/2263/25445 http://upetd.up.ac.za/thesis/available/etd-06112008-162807/ © 2008, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Asset pricing Financial instrument Affine jump diffusion Option pricing UCTD Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title | Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title_full | Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title_fullStr | Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title_full_unstemmed | Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title_short | Transform analysis of affine jump diffusion processes with applications to asset pricing |
| title_sort | transform analysis of affine jump diffusion processes with applications to asset pricing |
| topic | Asset pricing Financial instrument Affine jump diffusion Option pricing UCTD |
| url | http://hdl.handle.net/2263/25445 http://upetd.up.ac.za/thesis/available/etd-06112008-162807/ |