Sökning: "Jump-diffusion models"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden Jump-diffusion models.

  1. 1. Pricing of Some Path-Dependent Options on Equities and Commodities

    Författare :Mats Kjaer; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER

  3. 2. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  4. 3. Essays on the term structure of interest rates

    Författare :Magnus Hyll; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This volume contains five essays on topics related to interest rate theory.The first essay, Affine Term Structures and Short-Rate Realizations of Forward Rate Models Driven by Jump-Diffusion Processes, examines the problem of determining when a given forward rate model has a short-rate realization, and when a short-rate model gives rise to an affine term structure. LÄS MER

  5. 4. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance

    Författare :Marcus M J Warfheimer; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Interacting particle systems; contact process; randomly evolving environment; spin systems; Ising model; fuzzy Potts model; pairs trading; optimal stopping; contact process;

    Sammanfattning : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. LÄS MER

  7. 5. Approximation and Calibration of Stochastic Processes in Finance

    Författare :Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Sammanfattning : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. LÄS MER