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Essays in mathematical finance and in the epistemology of finance

Xavier De Scheemaekere

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: The goal of this thesis in finance is to combine the use of advanced mathematical methods with a return to foundational economic issues. In that perspective, I study generalized rational expectations and asset pricing in Chapter 2, and a converse comparison principle for backward stochastic differential equations with jumps in Chapter 3. Since the use of stochastic methods in finance is an interesting and complex issue in itself - if only to clarify the difference between the use of mathematical models in finance and in physics or biology - I also present a philosophical reflection on the interpretation of mathematical models in finance (Chapter 4). In Chapter 5, I conclude the thesis with an essay on the history and interpretation of mathematical probability - to be read while keeping in mind the fundamental role of mathematical probability in financial models.

Keywords: Finance -- Mathematical models; Finance -- Philosophy; Finances -- Modèles mathématiques; Finances -- Philosophie; équations différentielles stochastiques; philosophie des mathématiques dans les sciences s; philosophy of probability; philosophy of mathematics in the social sciences; comparison theorem; rational expectations; stochastic differential equations; asset pricing; théorème de comparaison; anticipations rationelles; philosophie des probabilités (search for similar items in EconPapers)
Pages: 1 v. (65 p.)
Date: 2011-05-19
Note: Degree: Doctorat en Sciences économiques et de gestion
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