Sökning: "Computational finance"

Visar resultat 1 - 5 av 17 avhandlingar innehållade orden Computational finance.

1. 1. Calibration and Hedging in Finance

   Författare :Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. LÄS MER

3. 2. Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives

   Författare :Slobodan Milovanović; Lina von Sydow; Bertram Düring; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Finite difference; Computational finance; Pricing of financial derivatives; Option pricing; Partial differential equation; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Sammanfattning : The purpose of this thesis is to present state of the art in radial basis function generated finite difference (RBF-FD) methods for pricing of financial derivatives. This work provides a detailed overview of RBF-FD properties and challenges that arise when the RBF-FD methods are used in financial applications. LÄS MER

4. 3. Localised Radial Basis Function Methods for Partial Differential Equations

   Författare :Victor Shcherbakov; Elisabeth Larsson; Grady B. Wright; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Partition of unity; Computational finance; Option pricing; Credit default swap; Glaciology; Fluid dynamics; Non-Newtonian flow; Anisotropic RBF; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Sammanfattning : Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. LÄS MER

5. 4. Some Markov Processes in Finance and Kinetics : Markov Processes

   Författare :Mattias Sunden; Göteborgs universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

   Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER

7. 5. Numerical methods for the calibration problem in finance and mean field game equations

   Författare :Love Lindholm; Anders Szepessy; Lina von Sydow; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. LÄS MER