Sökning: "Ornstein-Uhlenbeck process"

Visar resultat 16 - 20 av 21 avhandlingar innehållade orden Ornstein-Uhlenbeck process.

  1. 16. 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. 17. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Författare :Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. LÄS MER

  4. 18. Variational Methods for Moments of Solutions to Stochastic Differential Equations

    Författare :Kristin Kirchner; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Additive and multiplicative noise; Stochastic partial differential equation; Projective and injective tensor product space; Hilbert tensor product space; Space-time variational problem; Petrov-Galerkin discretization; Stochastic ordinary differential equation;

    Sammanfattning : Numerical methods for stochastic differential equations typically estimate moments of the solution from sampled paths. Instead, we pursue the approach proposed by A. Lang, S. Larsson, and Ch. LÄS MER

  5. 19. The capital cost of holding inventory - A real options approach

    Författare :Peter Berling; Produktionsekonomi; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY;

    Sammanfattning : This thesis is based on three scientific papers dealing with costs and financial risks associated with keeping stock. Reasonable cost parameters are important to implement an effective inventory control system, which in turn is one of the key activities in logistics management. All three papers consider a single-level inventory system. LÄS MER

  7. 20. Stochastic epidemic models in heterogeneous communities

    Författare :David Lindenstrand; Tom Britton; Åke Svensson; Denis Mollison; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical Statistics; matematisk statistik;

    Sammanfattning : The aim of Paper I is to explain where randomness should be taken into account when modelling epidemic spread, i.e. when a stochastic model is preferable to a deterministic counterpart. LÄS MER