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Essays in mathematical finance and in the epistemology of finance

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  • Xavier De Scheemaekere

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.

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  • Xavier De Scheemaekere, 2011. "Essays in mathematical finance and in the epistemology of finance," ULB Institutional Repository 2013/209938, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/209938
    Note: Degree: Doctorat en Sciences économiques et de gestion
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