Sökning: "Stochastic Volatility"
Visar resultat 6 - 10 av 59 avhandlingar innehållade orden Stochastic Volatility.
6. Asset Pricing Models with Stochastic Volatility
Sammanfattning : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. LÄS MER
7. Modeling financial volatility : A functional approach with applications to Swedish limit order book data
Sammanfattning : This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. LÄS MER
8. Contributions to Numerical Solution of Stochastic Differential Equations
Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER
9. Analytical Approximation of Contingent Claims
Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER
10. Asymptotics of implied volatility in the Gatheral double stochastic volatility model
Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER