Author: | Sarp Kaya Acar |
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URN: | urn:nbn:de:hbz:386-kluedo-20521 |
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Advisor: | Ralf Korn |
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Document Type: | Doctoral Thesis |
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Language of publication: | English |
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Year of Completion: | 2006 |
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Year of first Publication: | 2006 |
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Publishing Institution: | Technische Universität Kaiserslautern |
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Granting Institution: | Technische Universität Kaiserslautern |
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Acceptance Date of the Thesis: | 2006/09/11 |
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Date of the Publication (Server): | 2007/01/03 |
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Tag: | *CDSwaption; LIBOR; Laplace transform; double exponential distribution; first hitting time; jump-diffusion process; optimal capital structure* |
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Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
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DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
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MSC-Classification (mathematics): | 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G40 Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G55 Point processes |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J60 Diffusion processes [See also 58J65] |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J75 Jump processes |
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| 65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C30 Stochastic differential and integral equations |
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Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |
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