Sökning: "Jörgen Blomvall"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Jörgen Blomvall.

1. 1. Optimization of Financial Decisions using a new Stochastic Programming Method

   Författare :Jörgen Blomvall; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : The topics of this dissertation are the development of a new Stochastic Programming method and the application of Stochastic Programming in finance. Stochastic Programming is an area within Operations Research that has grown considerably over the last ten years. LÄS MER

3. 2. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

   Författare :Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

   Sammanfattning : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. LÄS MER

4. 3. Risk-Neutral and Physical Estimation of Equity Market Volatility

   Författare :Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. LÄS MER

5. 4. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

   Författare :Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

   Sammanfattning : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. LÄS MER

7. 5. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

   Författare :Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

   Sammanfattning : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. LÄS MER