Sökning: "Greeks"

Visar resultat 1 - 5 av 18 avhandlingar innehållade ordet Greeks.

  1. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

    Författare :Georgios Foufas; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

    Sammanfattning : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. LÄS MER

  3. 2. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

    Författare :Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

    Sammanfattning : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. LÄS MER

  4. 3. Differential inequalities and generalized greeks

    Författare :E.B Torbrand; Uppsala universitet; []
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 4. Researcher, Traveller, Narrator : Studies in Pausanias' Periegesis

    Författare :Johanna Akujärvi; Grekiska (antik och bysantinsk); []
    Nyckelord :HUMANIORA; HUMANITIES; Greek history warfare in; Panhellenism; Second Sophistic; second person narrative; homodiegetic narrative; narrator; Pausanias; Periegesis; and reception of ; Greek literature; Grekisk litteratur;

    Sammanfattning : This is a study of the second century AD literary work 'Periegesis Hellados', i.e. description of, or guide to, Greece, written by the otherwise unknown author Pausanias. This is a purely textual study with the whole of the Periegesis as its object. LÄS MER

  7. 5. Illness, disease, sickness : clinical factors, concepts of pain and sick leave patterns among immigrants in primary health care : effects of different therapeutic approaches

    Författare :Monica Löfvander; Karolinska Institutet; Karolinska Institutet; []
    Nyckelord :Immigrants; general practice; psykosocial stress; chronic pain; concepts; cross-cultural psychiatry; cognitive; sick leave; language; depression; social adjustment; psychosomatic disorders; qualitative research.;

    Sammanfattning : The outer framework for this thesis is the high rate of disability pensions among some immigrant groups in Sweden. The general aim for the research has been to understand the phenomena of illness, disease and sickness certification in immigrants from a primary care perspective and to test the effects on well-being and sickness certification of different therapeutic approaches. LÄS MER