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Option pricing in market models driven by telegraph processes with jumps
(Universidad del RosarioDoctorado en EconomíaFacultad de Economía, 2014)
This thesis is divided into two parts: the first part is devoted to present the telegraph processes, the Poisson processes with telegraph compensator and the jump-telegraph processes. The study presented in this first part ...
Un enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticos
This document contains three theoretical contributions that lie in the interplay between stochastic general equilibrium models, dynamic macroeconomics, and optimal control in continuous time. In the first chapter, we study ...