Sökning: "Hannah Dyrssen"

Hittade 2 avhandlingar innehållade orden Hannah Dyrssen.

1. 1. Option Pricing in Jump-to-Default Models

   Författare :Hannah Dyrssen; Erik Ekström; Boualem Djehiche; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics; Matematik;

   Sammanfattning : .... LÄS MER

3. 2. Valuation and Optimal Strategies in Markets Experiencing Shocks

   Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

   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