Sökning: "Finansiell Matematik"
Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Finansiell Matematik.
1. Simulation and Estimation of Diffusion Processes : Applications in Finance
Sammanfattning : Diffusion processes are the most commonly used models in mathematical finance, and are used extensively not only by academics but also practitioners. Nowadays a wide range of models, that can capture many of the effects observed in financial markets, are available. LÄS MER
2. Estimation and Model Validation of Diffusion Processes
Sammanfattning : Estimation and Model Validation of Diffusion Processes Abstract The main motivation for this thesis is the need for estimation and model validation of diffusion processes, i.e. stochastic processes satisfying a stochastic differential equation driven by Brownian motion. LÄS MER
3. Statistical Modeling of Diffusion Processes with Financial Applications
Sammanfattning : This thesis consists of five papers (Paper A-E) on statistical modeling of diffusion processes. Two papers (Paper A & D) consider Maximum Likelihood estimators for non-linear diffusion processes. LÄS MER
4. Calibration and Hedging in Finance
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
5. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging
Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER