Avancerad sökning

Visar resultat 1 - 5 av 10 avhandlingar som matchar ovanstående sökkriterier.

  1. 1. Valuation and hedging of long-term asset-linked contracts

    Författare :Henrik Andersson; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill. LÄS MER

  3. 2. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Författare :Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER

  4. 3. Modelling Weather Dynamics for Weather Derivatives Pricing

    Författare :Emanuel Evarest Sinkwembe; Martin Singull; Xiangfeng Yang; Fredrik Berntsson; Erik Lindström; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis focuses on developing an appropriate stochastic model for temperature dynamics as a means of pricing weather derivative contracts based on temperature. There are various methods for pricing weather derivatives ranging from simple one like historical burn analysis, which does not involve modeling the underlying weather variable to complex ones that require Monte Carlo simulations to achieve explicit weather derivatives contract prices, particularly the daily average temperature (DAT) dynamics models. LÄS MER

  5. 4. Essays on valuation of manufacturing flexibility : an option-pricing theory approach

    Författare :Jens Bengtsson; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Flexibility in manufacturing operations is becoming increasingly more important to industrial firms due to e.g. increasing product demand volatility, internationalisation of markets and competition, and shorter product life cycles. LÄS MER

  7. 5. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    Författare :Rikard Green; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Sammanfattning : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. LÄS MER