Sökning: "Erik Ekström"

Visar resultat 11 - 15 av 21 avhandlingar innehållade orden Erik Ekström.

  1. 11. Information and Default Risk in Financial Valuation

    Författare :Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    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. 12. Role of Information and Heterogeneous Beliefs in Finance

    Författare :Marta Leniec; Erik Ekström; Stephane Crepey; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : .... LÄS MER

  4. 13. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  5. 14. Optimal stopping and incomplete information in finance

    Författare :Bing Lu; Erik Ekström; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Analys; Mathematics; Matematik;

    Sammanfattning : .... LÄS MER

  7. 15. Optimal Stopping and Convergence of Option Rewards

    Författare :Robin Lundgren; Dmitrii Silvestrov; Anatoliy Malyarenko; Kimmo Eriksson; Erik Ekström; Mälardalens högskola; []
    Nyckelord :;

    Sammanfattning : This thesis is based on two articles devoted to optimal stopping problems of American type options. In article A, we study the problem of optimal reselling for European options. The problem can be transformed to the problem of exercising an American option with two underlying. LÄS MER