Sökning: "local volatility"
Visar resultat 1 - 5 av 29 avhandlingar innehållade orden local volatility.
1. Essays on stochastic volatility
Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER
2. 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
3. Calibration and Hedging in Finance
Sammanfattning : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. LÄS MER
4. Fine and Ultrafine Particles from Combustion Sources - Investigations with In-situ Techniques
Sammanfattning : Fine airborne particles are associated with adverse health effects in the human population. The aim of this research was to develop and evaluate methods for in-situ characterisation of fine and ultrafine particles and to determine their deposition in the human airways. LÄS MER
5. Unconventional Monetary Policy at the International, National and Local Level
Sammanfattning : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. LÄS MER