Sökning: "Default probability"
Visar resultat 1 - 5 av 21 avhandlingar innehållade orden Default probability.
1. Bridges with Random Length and Pinning Point for Modelling the Financial Information
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
2. Information and Default Risk in Financial Valuation
Sammanfattning : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. LÄS MER
3. Valuation and Optimal Strategies in Markets Experiencing Shocks
Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER
4. Feasible computation of generalized linear mixed models with application to credit risk modelling
Sammanfattning : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. LÄS MER
5. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios
Sammanfattning : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. LÄS MER