Browsing Theses and Dissertations (Applied Mathematics) by Author "Mhlanga, F. J."

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Malliavin calculus and its applications to mathematical finance

Kgomo, Shadrack Makwena (2020)

In this study,we consider two problems.The first one is the problem of computing hedging portfolios for options that may have discontinuous payoff functions.For this problem we use the Malliavin property called the ...
Pathwise functional lto calculus and its applications to the mathematical finance

Nkosi, Siboniso Confrence (2019)

Functional Itˆo calculus is based on an extension of the classical Itˆo calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on ...
Properties and calculus on price paths in the model-free approach to the mathematical finance

Galane, Lesiba Charles (2021)

Vovk and Shafer, [41], introduced game-theoretic framework for probability in mathematical finance. This is a new trend in financial mathematics in which no probabilistic assumptions on the space of price paths are made. ...

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