Sökning: "HJM model"

Hittade 3 avhandlingar innehållade orden HJM model.

  1. 1. Analytical Approximation of Contingent Claims

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Karl Larsson; Lunds universitet.; Lund University.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER

  2. 2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Detta är en avhandling från Stockholm : KTH

    Författare :Raul Tempone Olariaga; KTH.; [2002]
    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; MATHEMATICS Applied mathematics Numerical analysis; MATEMATIK Tillämpad matematik 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

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

    Detta är en avhandling från Stockholm : KTH

    Författare :Raúl Tempone Olariaga; KTH.; [2000]
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Adaptive methods; A posteriori error estimates; Stochastic differential equations; Monte Carlo methods; HJM model; Option price; Bond market; TECHNOLOGY; TEKNIKVETENSKAP;

    Sammanfattning : .... LÄS MER