Sökning: "Ali Hamdi"

Hittade 2 avhandlingar innehållade orden Ali Hamdi.

1. 1. On the Snell envelope approach to optimal switching and pricing Bermudan options

   Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. LÄS MER

3. 2. Some aspects of optimal switching and pricing Bermudan options

   Författare :Ali Hamdi; Boualem Djehiche; Henrik Hult; Luis Alvarez; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. LÄS MER