Sökning: "Stochastic Volatility"

Visar resultat 21 - 25 av 59 avhandlingar innehållade orden Stochastic Volatility.

1. 21. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

   Författare :Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

   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

3. 22. Selected Topics in Mathematical Modelling: Machine Learning and Tugs-of-War

   Författare :Carmina Fjellström; Kaj Nyström; Andrea Pascucci; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Machine learning; Neural networks; LSTM; Financial forecasting; Time series analysis; Stochastic gradient descent; Diffusion map; Dimension reduction; Tug-of-war games; Fractional heat operator; Mean value property; Infinity fractional heat operators; Dynamic programming principle; p-Laplacian; Infinity Laplacian; Kolmogorov equation; Stochastic games; Viscosity solutions; Tillämpad matematik och statistik; Applied Mathematics and Statistics;

   Sammanfattning : This thesis concerns selected topics in mathematical modelling, namely in machine learning and stochastic games called tugs-of-war. It consists of four scientific articles. The first and second are about machine learning topics, while the third and fourth articles are about tug-of-war games. LÄS MER

4. 23. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

   Författare :Linus Kajsajunti; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. LÄS MER

5. 24. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

   Författare :Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

   Sammanfattning : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. LÄS MER

7. 25. VAR Models, Cointegration and Mixed-Frequency Data

   Författare :Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

   Sammanfattning : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. LÄS MER