Sökning: "Kac model"
Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Kac model.
1. Propagation of Chaos for Kac-like Particle Systems
Sammanfattning : This thesis concerns various aspects of the Kac model. The Kac model is a Markov jump process for a particle system where the total kinetic energy of the system is conserved. This particle model is connected to a limiting equation, describing the evolution of a one-particle density, when the numbers of particles tends to infinity. LÄS MER
2. Some Markov Processes in Finance and Kinetics : Markov Processes
Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER
3. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities
Sammanfattning : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. LÄS MER
4. Portfolio Optimization and Statistics in Stochastic Volatility Markets
Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER
5. Arithmetic and Hyperbolic Structures in String Theory
Sammanfattning : This thesis consists of an introductory text followed by two separate parts which may be read independently of each other. In Part I we analyze certain hyperbolic structures arising when studying gravity in the vicinity of spacelike singularities (the BKL-limit). LÄS MER