Pricing and hedging of derivatives in markov modulated markets through benchmark approach

dc.contributor.guide	Selvaraju, N
dc.coverage.spatial	Mathematics
dc.creator.researcher	Raju, I. Venkat Appal
dc.date.accessioned	2023-05-23T11:11:37Z
dc.date.available	2023-05-23T11:11:37Z
dc.date.awarded	2011
dc.date.completed	2011
dc.date.registered	2005
dc.description.abstract	The aim of the thesis is to study the pricing and hedging problems for contingent claims for various Markov modulated models through the benchmark approach This approach is based on a speciDc benchmark portfolio known as the growth optimal portfolio GOP GOP has been obtained for diDerent market models using the stochastic control method When used as a numeraire GOP ensures that all the benchmarked price processes are supermartingales Using this supermartingale nature of benchmarked price
dc.description.note	Not Available
dc.format.accompanyingmaterial	None
dc.format.dimensions	Not Available
dc.format.extent	Not Available
dc.identifier.uri	http://hdl.handle.net/10603/484932
dc.language	English
dc.publisher.institution	DEPARTMENT OF MATHEMATICS
dc.publisher.place	Guwahati
dc.publisher.university	Indian Institute of Technology Guwahati
dc.relation	Not Available
dc.rights	self
dc.source.university	University
dc.subject.keyword	Mathematics
dc.subject.keyword	Physical Sciences
dc.title	Pricing and hedging of derivatives in markov modulated markets through benchmark approach
dc.title.alternative	Not available
dc.type.degree	Ph.D.