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1. 1. Analytical Approximation of Contingent Claims

   Författare :Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

   Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER

3. 2. Pointwise and Genomewide Significance Calculations in Gene Mapping through Nonparametric Linkage Analysis: Theory, Algorithms and Applications

   Författare :Lars Ängquist; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; programming; actuarial mathematics; Statistik; cytogenetics; Genetik; cytogenetik; Mathematics; Matematik; Statistics; operations research; Genetics; ROC curves; conditioning loci; optimal score functions; noncentrality parameter; cost adjusted relative efficiency; exponential tilting; importance sampling; Monte Carlo simulation; normal approximation; crossover rate; process maximum; analytical approximation; significance calculations; NPL score; conditional linkage analysis; two-locus linkage analysis; Allele sharing; aktuariematematik; operationsanalys; programmering; gene-gene interaction; composite hypotheses; genetic disease models; classes of score functions; nonparametric linkage analysis;

   Sammanfattning : In linkage analysis or, in a wider sense, gene mapping one searches for disease loci along a genome. This is done by observing so called marker genotypes (alleles) and phenotypes (affecteds/unaffecteds) of a pedigree set, i.e. LÄS MER

4. 3. Label Cover Reductions for Unconditional Approximation Hardness of Constraint Satisfaction

   Författare :Cenny Wenner; Johan Håstad; Viggo Kann; Irit Dinur; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Combinatorial Optimization; Complexity Theory; Approximation; Approximability; Inapproximability; Computational Hardness; NP; Optimization; Constraint Satisfaction; Kombinatorisk optimering; Komplexitetsteori; Beräkningsteori; Approximation; Approximerbarhet; Beräkningssvårighet; NP; Optimering; Vilkorssatisfiering; Vilkorsuppfyllning; Vilkorstillfredställand; datalogi; Computer Science;

   Sammanfattning : Combinatorial optimization include such tasks as finding the quickest route to work, scheduling jobs to specialists, and placing bus stops so as to minimize commuter times. We consider problems where one is given a collection of constraints with the objective of finding an assignment satisfying as many constraints as possible, also known as Constraint Satisfaction Problems (CSPs). LÄS MER

5. 4. Numerical analysis for random processes and fields and related design problems

   Författare :Konrad Abramowicz; Oleg Seleznjev; Krzysztof Podgórski; Umeå universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

   Sammanfattning : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. LÄS MER

7. 5. Topics in Hardness of Approximation and Social Choice Theory

   Författare :Marcus Isaksson; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Hardness of approximation; social choice theory; Gibbard-Satterthwaite; max-q-cut; Condorcet voting; linear threshold functions.; Hardness of approximation;

   Sammanfattning : Tools from Fourier analysis of Boolean functions have commonly been used to prove results both in hardness of approximation in computer science and in the study of voting schemes in social choice theory. In this thesis we consider various topics in both these contexts. LÄS MER