Search for dissertations about: "Financial mathematics"

Showing result 1 - 5 of 71 swedish dissertations containing the words Financial mathematics.

2. 1. The Skorohod problem and weak approximation of stochastic differential equations in time-dependent domains

   Author : Thomas Önskog; Kaj Nyström; Leif Persson; Johan Tysk; Umeå universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Skorohod problem; weak approximation; time-dependent domain; stochastic differential equations; parabolic partial differential equations; oblique reflection; stopped diffusions; Euler scheme; adaptive methods; sensitivity analysis; financial derivatives; Greeks ; MATHEMATICS; MATEMATIK; Mathematics; matematik;

   Abstract : This thesis consists of a summary and four scientific articles. All four articles consider various aspects of stochastic differential equations and the purpose of the summary is to provide an introduction to this subject and to supply the notions required in order to fully understand the articles. READ MORE

4. 2. Calibration, Optimality and Financial Mathematics

   Author : Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

   Abstract : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. READ MORE

5. 3. Optimal timing decisions in financial markets

   Author : Martin Vannestål; Erik Ekström; Luis H. R. Alvarez E.; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal stopping; American options; optimal stopping games; incomplete information; Mathematics; Matematik;

   Abstract : This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. READ MORE

6. 4. Extreme points of the Vandermonde determinant in numerical approximation, random matrix theory and financial mathematics

   Author : Asaph Keikara Muhumuza; Sergei Silvestrov; Anatoliy Malyarenko; Karl Lundengård; Milica Rancic; Olga Liivapuu; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : This thesis discusses the extreme points of the Vandermonde determinant on various surfaces, their applications in numerical approximation, random matrix theory and financial mathematics. Some mathematical models that employ these extreme points such as curve fitting, data smoothing, experimental design, electrostatics, risk control in finance and method for finding the extreme points on certain surfaces are demonstrated. READ MORE

7. 5. PDE methods for free boundary problems in financial mathematics

   Author : Teitur Arnarson; Henrik Shahgholian; Diogo Gomes; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

   Abstract : We consider different aspects of free boundary problems that have financial applications. Papers I–III deal with American option pricing, in which case the boundary is called the early exercise boundary and separates the region where to hold the option from the region where to exercise it. READ MORE