Numerical methods for model-free pricing in finance, optimal transport, and cyber risk management

• المؤلف الرئيسي: Xiang, Qikun
• مؤلفون آخرون: Ariel Neufeld
• التنسيق: Thesis-Doctor of Philosophy
• اللغة: English
• منشور في: Nanyang Technological University 2023
• الموضوعات: Science::Mathematics::Applied mathematics::Optimization; Science::Mathematics::Probability theory
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/172791
• المؤسسة: Nanyang Technological University

This thesis presents results from five projects that I have worked on with my collaborators throughout my PhD. The thesis is divided into three parts. Part 1 of the thesis deals with the computation of model-free price bounds of financial derivatives and presents the numerical methods we have develo...