Search for dissertations about: "Asset pricing models"

Showing result 16 - 20 of 31 swedish dissertations containing the words Asset pricing models.

2. 16. Empirical studies of portfolio choice and asset prices

   Author : Björn Lagerwall; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : This thesis contains empirical studies of portfolio choice and asset prices. The first two chapters deal with incorporating labor supply into models traditionally only focusing on consumption. Can the risk premium on stocks be better understood when taking labor supply into account? This is the topic of the first chapter. READ MORE

4. 17. Numerical analysis for random processes and fields and related design problems

   Author : Konrad Abramowicz; Oleg Seleznjev; Krzysztof Podgórski; Umeå universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

   Abstract : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. READ MORE

5. 18. Analytical Approximation of Contingent Claims

   Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

   Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE

6. 19. Localised Radial Basis Function Methods for Partial Differential Equations

   Author : Victor Shcherbakov; Elisabeth Larsson; Grady B. Wright; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Partition of unity; Computational finance; Option pricing; Credit default swap; Glaciology; Fluid dynamics; Non-Newtonian flow; Anisotropic RBF; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Abstract : Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. READ MORE

7. 20. Bridges with Random Length and Pinning Point for Modelling the Financial Information

   Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

   Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE