creator Liu, J Ingran advisor Bielecki, Tomasz The goal of this thesis is to consider asset pricing model which driven by an exponential time changed process: Brownian motion with time changing process{ Poisson process. We rst present the characteristic function of the time change exponential Brown motion and its ltration. Second we exhibit the explicit European call pricing formula then discuss the mean-variance hedging method in this thesis. Submitted by Liana Khananashvili (khananashvili@iit.edu) on 2013-08-12T19:54:57Z No. of bitstreams: 1 Jingran Liu-Master's thesis.pdf: 413893 bytes, checksum: edebb9d5a2d81ba927f2d9d23e4cdd95 (MD5) Made available in DSpace on 2013-08-12T19:54:57Z (GMT). No. of bitstreams: 1 Jingran Liu-Master's thesis.pdf: 413893 bytes, checksum: edebb9d5a2d81ba927f2d9d23e4cdd95 (MD5) Previous issue date: 2012-12 M.S. in Applied Mathematics, December 2012 2012-11-17 2012-12 http://hdl.handle.net/10560/3026 en Thesis born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access MATH / Applied Mathematics Illinois Institute of Technology Affiliated department