Sökning: "Johan Tysk"

Visar resultat 1 - 5 av 10 avhandlingar innehållade orden Johan Tysk.

  1. 1. Selected Problems in Financial Mathematics

    Författare :Erik Ekström; Johan Tysk; Svante Janson; Lane P. Hughston; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; American options; convexity; monotonicity in the volatility; robustness; optimal stopping; parabolic equations; free boundary problems; volatility; Russian options; game options; excessive functions; superreplication; smooth fit; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. LÄS MER

  3. 2. On the pricing equations of some path-dependent options

    Författare :Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. LÄS MER

  4. 3. Adaptive immune response in the intestinal mucosa of microscopic colitis patients

    Författare :Ashok Kumar Kumawat; Elisabeth Hultgren-Hörnquist; Johan Bohr; Curt Tysk; Allan Sirsjö; Samuel Lundin; Örebro universitet; []
    Nyckelord :MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Microscopic colitis; collagenous colitis; lymphocytic colitis; intraepithelial lymphocytes; lamina propria lymphocytes; T cell receptor excision circle; T helper cells; cytotoxic T lymphocyte and mucosal cytokines; Biomedicin; Biomedicine;

    Sammanfattning : Microscopic colitis (MC) is a chronic diarrhoeal disease of unknown aetiology, comprising collagenous colitis (CC) and lymphocytic colitis (LC). The nature of the adaptive local immune responses in the mucosa of MC patients is however far from elucidated. LÄS MER

  5. 4. Convergence of Option Rewards

    Författare :Robin Lundgren; Dmitrii Silvestrov; Kimmo Eriksson; Anatoliy Malyarenko; Johan Tysk; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Applied mathematics; Tillämpad matematik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : This thesis consists of an introduction and five articles devoted to optimal stopping problems of American type options. In article A, we get general convergence results for the American option rewards for multivariate Markov price processes. These results are used to prove convergence of tree approximations presented in papers A, B, C and E. LÄS MER

  7. 5. Accurate Finite Difference Methods for Option Pricing

    Författare :Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Sammanfattning : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. LÄS MER