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Problèmes de non arbitrage, de recouvrement et d'optimisation de consommation dans un marché financier avec coûts de transactions.

Abstract : This thesis deals with three problems of financial mathematics in the markets with proportional transaction costs. The first part is devoted to the conditions of no-arbitrage in a market with partial information. The second solves the hedging problem for the american options in a continuous time setting and introduces the concept of coherent price system. Finally, the third part deals with Merton's consumption-investment problem in a market where the price process is driven by a Levy process.
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https://tel.archives-ouvertes.fr/tel-00477632
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Submitted on : Thursday, April 29, 2010 - 5:11:29 PM
Last modification on : Monday, October 11, 2021 - 10:04:09 AM
Long-term archiving on: : Thursday, September 30, 2010 - 4:33:24 PM

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Dimitri de Vallière. Problèmes de non arbitrage, de recouvrement et d'optimisation de consommation dans un marché financier avec coûts de transactions.. Mathématiques [math]. Université de Franche-Comté, 2010. Français. ⟨tel-00477632⟩

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