Models for indices
We consider a market index model for a large portfolio of risky assets traded in the stock market where the correlation is due to a market factor. By taking the limit of a simple systems of stochastic differential equations (SDEs), we obtain a limit stochastic differential equation (SDE) for the ind...
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| Format: | Praca dyplomowa |
| Wydane: |
oxford university;mathematical institute
2011
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