| Fichiers |
XDTabledesMatieresBictel.pdf |
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| Auteur | De Scheemaekere, Xavier (xdeschee@ulb.ac.be) |
| Titre | Essays in Mathematical Finance and in the Epistemology of Finance / Essais en Finance Mathématique et en Epistémologie de la Finance |
| Département | F708 - Faculté Solvay Brussels School of Economics and Management |
| Intitulé du diplôme | Doctorat en Sciences économiques et de gestion |
| Date de défense | 2011-05-19 |
| Jury |
Deelstra, Griselda (Membre du jury/Committee Member) Delbaen, Freddy (Membre du jury/Committee Member) Jeanblanc, Monique (Membre du jury/Committee Member) Patie, Pierre (Membre du jury/Committee Member) Gassner, Marjorie (Président du jury/Committee Chair) Pirotte, Hugues (Promoteur/Director) Szafarz, Ariane (Promoteur/Director) |
| Mots-clés | équations différentielles stochastiques, philosophie des mathématiques dans les sciences s, philosophy of probability, philosophy of mathematics in the social sciences, comparison theorem, rational expectations, stochastic differential equations, asset pricing, théorème de comparaison, anticipations rationelles, philosophie des probabilités |
| Résumé | 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. |