Identifier

etd-07022008-143903

Degree

Doctor of Philosophy (PhD)

Department

Mathematics

Document Type

Dissertation

Abstract

We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, we prove several results on the sensitivity of quantities connected with the hitting times to parameters of the model, as well as the large-N behavior. We discuss the relationship of these results to certain credit derivative instruments. Relevant simulations are presented.

Date

2008

Document Availability at the Time of Submission

Release the entire work immediately for access worldwide.

Committee Chair

Sengupta, Ambar N.

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