Sökning: "Anatoliy Malyarenko"

Visar resultat 1 - 5 av 16 avhandlingar innehållade orden Anatoliy Malyarenko.

  1. 1. Perturbed Markov Chains with Damping Component and Information Networks

    Författare :Benard Abola; Sergei Silvestrov; Christopher Engström; Dmitrii Silvestrov; Anatoliy Malyarenko; Milica Rancic; Vladimir Anisimov; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : This thesis brings together three thematic topics, PageRank of evolving tree graphs, stopping criteria for ranks and perturbed Markov chains with damping component. The commonality in these topics is their focus on ranking problems in information networks. LÄS MER

  3. 2. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Författare :Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER

  4. 3. On Hom-associative Ore Extensions

    Författare :Per Bäck; Sergei Silvestrov; Johan Richter; Lars Hellström; Anatoliy Malyarenko; Joakim Arnlind; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : In this thesis, we introduce and study hom-associative Ore extensions. These are non-unital, non-associative, non-commutative polynomial rings in which the associativity condition is “twisted” by an additive group homomorphism. LÄS MER

  5. 4. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Författare :Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. LÄS MER

  7. 5. Extreme points of the Vandermonde determinant and phenomenological modelling with power exponential functions

    Författare :Karl Lundengård; Sergei Silvestrov; Milica Rancic; Anatoliy Malyarenko; Palle Jorgensen; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : This thesis discusses two topics, finding the extreme points of the Vandermonde determinant on various surfaces and phenomenological modelling using power-exponential functions. The relation between these two problems is that they are both related to methods for curve-fitting. LÄS MER