Sökning: "exponential Lévy models"

Hittade 5 avhandlingar innehållade orden exponential Lévy models.

  1. 1. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  3. 2. Semi-Markov Models for Insurance and Option Rewards

    Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER

  4. 3. Approximation and Calibration of Stochastic Processes in Finance

    Författare :Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Sammanfattning : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. LÄS MER

  5. 4. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

    Författare :Mats Brodén; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

    Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER

  7. 5. Geospatial Knowledge Discovery using Volunteered Geographic Information : a Complex System Perspective

    Författare :Tao Jia; Bin Jiang; Yifang Ban; Itzhak Benenson; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; knowledge discovery; urban systems; complex system; VGI; OSM; GPS tracking dataset; scaling; heavy-tailed distribution detection; urban sprawl; Zipf’s law; human activity mobility patterns; agent-based modeling; complex network.;

    Sammanfattning : The continuous progression of urbanization has resulted in an increasing number of people living in cities or towns. In parallel, advancements in technologies, such as the Internet, telecommunications, and transportation, have allowed for better connectivity among people. LÄS MER