Sökning: "exotic options."

Hittade 3 avhandlingar innehållade orden exotic options..

  1. 1. Extreme Value Analysis of Huge Datasets: Tail Estimation Methods in High-Throughput Screening and Bioinformatics

    Författare :Dmitrii Zholud; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Extreme Value Statistics; High-Throughput Screening; HTS; Bioinformatics; analysis of huge datasets; quality control; correction of theoretical p-values; comparison of pre-processing methods; SmartTail; estimation of False Discovery Rates; test power; distribution tail; high level excursions; quantile estimation; multiple testing; Student t−test; Welch statistic; small sample sizes; F−test; Wiener process; Gaussian random walk; Shepp statistic; limit theorems; exotic options.; estimation of False Discovery Rates;

    Sammanfattning : This thesis presents results in Extreme Value Theory with applications to High-Throughput Screening and Bioinformatics. The methods described here, however, are applicable to statistical analysis of huge datasets in general. The main results are covered in four papers. LÄS MER

  3. 2. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

    Författare :Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

    Sammanfattning : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. LÄS MER

  4. 3. 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