Three essays in mathematical finance /

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Bibliographic Details
Author / Creator:	Wang, Ruming, author.
Imprint:	2015. Ann Arbor : ProQuest Dissertations & Theses, 2015
Description:	1 electronic resource (111 pages)
Language:	English
Format:	E-Resource Dissertations
Local Note:	School code: 0330
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/10773097

Hidden Bibliographic Details
Other authors / contributors:	University of Chicago. degree granting institution.
ISBN:	9781321884500
Notes:	Advisors: Roger W. Lee Committee members: Steven P. Lalley; Per A. Mykland. Dissertation Abstracts International, Volume: 76-11(E), Section: B. English
Summary:	This dissertation uses mathematical techniques to solve three problems in mathematical finance. The first two problems are on model-independent pricing and hedging of financial derivatives. We use asymptotic expansions to express derivative prices and implied volatilities. Then just by using the first few terms in the expansions, we get simple and accurate formulas, which can also help us find connections between different products. The last problem is on optimal trading strategies in a limit order book. Under a very general setup, we solve explicitly for a dynamic decision problem involving choosing between limit order and market order.

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