Sökning: "Lévy market models"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden Lévy market models.

  1. 1. Derivative Prices for Models using Levy Processes and Markov Switching

    Författare :Sebastian Rasmus; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; programming; operations research; Statistics; Regime switching; Levy processes; Derivative pricing; Computer simulations; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. LÄS MER

  3. 2. Bridges with Random Length and Pinning Point for Modelling the Financial Information

    Författare :Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

    Sammanfattning : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. LÄS MER

  4. 3. 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

  5. 4. Approximation and Calibration of Stochastic Processes in Finance

    Författare :Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Sammanfattning : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. LÄS MER

  7. 5. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

    Författare :Mats Brodén; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

    Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER