Sökning: "Love Lindholm"

Hittade 2 avhandlingar innehållade orden Love Lindholm.

1. 1. Calibration and Hedging in Finance

   Författare :Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. LÄS MER

3. 2. Numerical methods for the calibration problem in finance and mean field game equations

   Författare :Love Lindholm; Anders Szepessy; Lina von Sydow; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. LÄS MER