Sökning: "Bond market"

Visar resultat 1 - 5 av 39 avhandlingar innehållade orden Bond market.

  1. 1. Essays on Art Markets : insight from the international sculpture auction market

    Författare :Rustam Vosilov; Jörgen Hellström; Rickard Olsson; Christophe Spaenjers; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Art markets; asset pricing; art finance; art economics; art auctions; sculpture market; art as alternative investment; art pricing; företagsekonomi; Business Studies;

    Sammanfattning : The main purpose of this thesis is to investigate the viability of sculpture as a potential alternative investment. This goal is achieved through partly assessing the market quality of the auction market for sculptures and partly by studying their long-run diversification potential. 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 Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Författare :Raul Tempone Olariaga; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

    Sammanfattning : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. LÄS MER

  5. 4. Weak approximation of ItÔ stochastic differential equations and related adaptive algorithms

    Författare :Raúl Tempone Olariaga; KTH; []
    Nyckelord :Adaptive methods; A posteriori error estimates; Stochastic differential equations; Monte Carlo methods; HJM model; Option price; Bond market; TECHNOLOGY; TEKNIKVETENSKAP;

    Sammanfattning : .... LÄS MER

  7. 5. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER