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

• 主要作者: Xiang, Qikun
• 其他作者: Ariel Neufeld
• 格式: Thesis-Doctor of Philosophy
• 語言: English
• 出版: Nanyang Technological University 2023
• 主題: Science::Mathematics::Applied mathematics::Optimization; Science::Mathematics::Probability theory
• 在線閱讀: https://hdl.handle.net/10356/172791

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...