Search for dissertations about: "Correlation matrix modelling"
Showing result 1 - 5 of 19 swedish dissertations containing the words Correlation matrix modelling.
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1. Pricing Portfolio Credit Derivatives
Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE
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2. Modelling and Retrieval of Forest Parameters from Synthetic Aperture Radar Data
Abstract : Currently, one of the most uncertain factors in the global carbon cycle models lies in the terrestrialcarbon stock, mainly forests. The available methods for global forest resource mapping provide onlyrough estimates of biomass, the most relevant practical quantity related to carbon stock. READ MORE
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3. A Study on the Correlation between Ladle Glaze and Non-Metallic Inclusions in the Ladle Treatment
Abstract : In the present thesis, the correlation between ladle glaze and non-metallic inclusions in the ladle treatment was studied. A number of industrial trials with full scale ladle and laboratory works were performed to investigate the inclusions in the ladle treatment. READ MORE
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4. Pricing of Some Path-Dependent Options on Equities and Commodities
Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE
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5. Heterogeneity-Induced Channelling, Flow-Wetted Surface, and Modelling of Transport in Fractured Rock
Abstract : Heterogeneities in fractured rock are found at all scales; from the scale of individual fractures, to the scale of fracture networks, and to the largest regional scales. These heterogeneities cause challenges for modelling and parameter estimation of flow and solute transport. READ MORE