Sökning: "mean reversion"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden mean reversion.

  1. 1. Financial Applications of Markov Chain Monte Carlo Methods

    Författare :Andreas Graflund; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Sammanfattning : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. LÄS MER

  2. 2. Contributions to Numerical Solution of Stochastic Differential Equations

    Författare :Anders Muszta; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

    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. 3. Two Essays in Empirical Finance: Unit-Root Testing in the Presence of Structural Breaks

    Författare :Florin G. Maican; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. LÄS MER

  4. 4. Essays on the term structure of interest rates and monetary policy

    Författare :Magnus Dahlquist; Stockholms universitet; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Penningpolitik; Ränta;

    Sammanfattning : This thesis consists of four empirical essays, summarized below.In “On Alternative Interest Rate Processes'' the interest rate dynamics for four European countries are studied. There seems to be a positive relation between the interest rate level and the volatility of interest rate changes. LÄS MER

  5. 5. Genetics of immunoglobulin a deficiency

    Författare :Che Kang Lim; Karolinska Institutet; Karolinska Institutet; []
    Nyckelord :MEDICAL AND HEALTH SCIENCES; MEDICIN OCH HÄLSOVETENSKAP;

    Sammanfattning : Immunoglobulin A deficiency (IgAD) is the most common primary immunodeficiency in Caucasian populations. It is defined as a serum IgA level below 0.07 g/L with normal IgM and IgG levels in an individual older than four years of age. LÄS MER