Contributions à l'étude de discrétisation des processus avec sauts, du risque de liquidité, et du risque de saut dans les marchés financiers

Abstract : This document summarizes my contributions to the study of discretization of jump processes, and to the modeling of liquidity risk and jump risk in financial markets. Chapter 2 contains the more theoretical results in the domain of discretization of stochastic processes with jumps, focusing in particular on the study of the discretization error of hedging strategies and on new schemes for the simulation of stochastic differential equations driven by Lévy processes. Chapter 3 formulates and studies using the methods of stochastic control a problem of optimal investment and consumption in illiquid financial markets. Chapter 4 contains more applied works on the modeling of jump risk in settings such as portfolio insurance, derivatives pricing and electricity markets.
Document type :
Habilitation à diriger des recherches
Probability. Université Paris-Diderot - Paris VII, 2010


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Contributor : Peter Tankov <>
Submitted on : Thursday, June 28, 2012 - 11:03:55 PM
Last modification on : Friday, June 29, 2012 - 1:37:52 PM

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Peter Tankov. Contributions à l'étude de discrétisation des processus avec sauts, du risque de liquidité, et du risque de saut dans les marchés financiers. Probability. Université Paris-Diderot - Paris VII, 2010. <tel-00712732>

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