Sökning: "jump process"

Visar resultat 16 - 20 av 46 avhandlingar innehållade orden jump process.

  1. 16. Modelling Allelic and DNA Copy Number Variations using Continuous-index Hidden Markov Models

    Författare :Susann Stjernqvist; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Hidden Markov models; DNA copy number; allelic copy number; Markov chain Monte Carlo;

    Sammanfattning : In human cells there are usually two copies of each chromosome, but in cancer cells abnormalities could exist. The differences consist of segments of chromosomes with an altered number of copies. There can be deletions as well as amplifications and the lengths of the segments can also vary. LÄS MER

  3. 17. 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. 18. Information and Default Risk in Financial Valuation

    Författare :Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    Sammanfattning : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. LÄS MER

  5. 19. Asymptotics, weak convergence and duality in population genetics

    Författare :Martina Favero; Henrik Hult; Alison Etheridge; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of four papers on asymptotic results and stochastic duality for some processes in mathematical population genetics. The focus is on Wright-Fisher diffusions and coalescent processes, which model, respectively, the evolution of frequencies of genetic types and genealogies in a population,and play a key role in inference on genetic data sets. LÄS MER

  7. 20. 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