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A MATHEMATICAL PHYSICS APPROACH TO MODELING FINANCIAL DERIVATIVES

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abstract
In this thesis, a framework for modeling the potential impact of financial derivativestrading on the behavior of a market is developed by using the treatments of gametheory, analysis and mathematical physics. Framework was used to characterizedhistorical periods of a market as phases that corresponded to different distributionsof fifty-day volatility.
subject
Derivatives
Finance
Minority Game
Spin Glass
contributor
Warta, James Howard (author)
Erway, Jennifer (committee chair)
Bourdon, Abbey (committee member)
date
2019-05-24T08:35:50Z (accessioned)
2019-05-24T08:35:50Z (available)
2019 (issued)
degree
Mathematics and Statistics (discipline)
identifier
http://hdl.handle.net/10339/93977 (uri)
language
en (iso)
publisher
Wake Forest University
title
A MATHEMATICAL PHYSICS APPROACH TO MODELING FINANCIAL DERIVATIVES
type
Thesis

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