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)
This thesis deals with the asymptotic behaviour of stochastic difference and functional differential equations of Itô type. Numerical methods which both minimise error and preserve asymptotic features of the underlying continuous equation are studied. The equations have a form which makes them suitable to model financial markets in which agents use past(More)
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