Sökning: "derivative pricing"

Visar resultat 1 - 5 av 15 avhandlingar innehållade orden derivative pricing.

  1. 1. Network capacity sharing with QoS as a financial derivative pricing problem : algorithms and network design

    Författare :Lars Rasmusson; KTH; []
    Nyckelord :Computer network architecture; bandwidth trading; inter-domain Quality-of-Service; pricing; combinatorial allocation; financial derivative pricing; stochastic modeling;

    Sammanfattning : A design of anautomatic network capacity markets, oftenreferred to as a bandwidth market, is presented. Three topicsare investigated. First, a network model is proposed. Theproposed model is based upon a trisection of the participantroles into network users, network owners, and market middlemen. LÄS MER

  3. 2. Derivative Prices for Models using Levy Processes and Markov Switching

    Författare :Sebastian Rasmus; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; programming; operations research; Statistics; Regime switching; Levy processes; Derivative pricing; Computer simulations; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. LÄS MER

  4. 3. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER

  5. 4. Essays in Quantitative Finance

    Författare :Patrik Karlsson; Nationalekonomiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Sammanfattning : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. LÄS MER

  7. 5. Network capacity sharing with QoS as a financial derivative pricing problem : algorithms and network

    Författare :Lars Rasmusson; RISE; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : A design of an automatic network capacity markets, often referred to as a bandwidth market, is presented. Three topics are investigated. First, a network model is proposed. The proposed model is based upon a trisection of the participant roles into network users, network owners, and market middlemen. LÄS MER