Sökning: "Saïd Hamadène"
Hittade 2 avhandlingar innehållade orden Saïd Hamadène.
1. On the Snell envelope approach to optimal switching and pricing Bermudan options
Sammanfattning : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. LÄS MER
2. Optimal Switching Problems and Related Equations
Sammanfattning : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. LÄS MER