Catherine Swords

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This paper studies the asymptotic behaviour of an affine stochastic functional differential equation modelling the evolution of the cumulative return of a risky security. In the model, the traders of the security determine their investment strategy by comparing short– and long–run moving averages of the security's returns. We show that the cumulative(More)
Declaration I hereby certify that this material, which I now submit for assessment on the programme of study leading to the award of Doctor of Philosophy in Mathematics is entirely my own work, that I have exercised reasonable care to ensure that the work is original, and does not to the best of my knowledge breach any law of copyright, and has not been(More)
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