A MATHEMATICAL PHYSICS APPROACH TO MODELING FINANCIAL DERIVATIVES
Electronic Theses and Dissertations
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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
- 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