Sökning: "Cox-Ingersoll-Ross process"
Hittade 3 avhandlingar innehållade orden Cox-Ingersoll-Ross process.
1. Modelling and Inference for Spatio-Temporal Marked Point Processes
Sammanfattning : This thesis deals with inference problems related to the growth-interaction process (GI-process). The GI-process is a continuous time spatio-temporal point process with dynamic interacting marks (closed disks), in which the immigration-death process (ID-process) controls the arrivals of new marked points as well as their potential life-times. LÄS MER
2. After Work - Investing for Retirement
Sammanfattning : The first three papers are the result of work on various aspects of pension savings. The framework for analysis and common to all papers; is a life-cycle model of a borrowing-constrained individual's consumption- and portfolio-choices in the presence of uncertain labour-income. LÄS MER
3. Topics in importance sampling and derivatives pricing
Sammanfattning : This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes.In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. LÄS MER