Type of Document Master's Thesis Author Guillory, Jessica J. Author's Email Address firstname.lastname@example.org URN etd-1110103-142617 Title Stock Price Modeling and Insider Trading Theory Degree Master of Science (M.S.) Department Mathematics Advisory Committee
Advisor Name Title Padmanabhan Sundar Committee Chair Hui-Hsiung Kuo Committee Member Robert Perlis Committee Member Keywords
- girsanov theorem
- insider trading
- portfoilo thoery
- brownian motion
- enlargement of a filtration
- stochastic calculus
Date of Defense 2003-11-07 Availability unrestricted AbstractThe mathematical study of stock price modeling using Brownian motion and stochastic calculus is a relatively new field. The randomness of financial markets, geometric brownian motions, martingale theory, Ito's lemma, enlarged filtrations, and Girsanov's theorem provided the motivation for a simple characterization of the concepts of stock price modeling.
This work presents the theory of stochastic calculus and its use in the financial market. The problems on which we focus are the models of an investor's portfolio of stocks with and without the possibility of insider trading, opportunities for fair pricing of an option, enlarged filtrations, consumptions, and admissibility.
This survey has two parts. The first part explores the theoretical aspects of stochastic calculus, and the second part shows its application in predicting stock prices and the wealth of an investor's portfolio.
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