The Mathematical Institute, University of Oxford, Eprints Archive

Optimal Switching on a Finite Time Horizon

Vasilev, Nikolay (2014) Optimal Switching on a Finite Time Horizon. Masters thesis, Oxford University.

[img]
Preview
PDF - Submitted Version
376kB

Abstract

In this study we investigate the problem of finding the optimal investment strategy in an uncertain market. We consider an investor who can choose whether and when to enter or exit the market in an attempt to maximise her expected profit. Examining two different models for the underlying asset dynamics, geometric Brownian motion and a mean-reverting process with seasonality, we study explicit solutions to the optimisation problem and propose a numerical algorithm for computing the maximised expected profit.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1852
Deposited By: Laura Auger
Deposited On:07 Aug 2014 06:41
Last Modified:29 May 2015 19:32

Repository Staff Only: item control page