Search for dissertations about: "NIG"

Showing result 1 - 5 of 6 swedish dissertations containing the word NIG.

  2. 1. Essays on VIX Futures and Options

    Author : Bujar Huskaj; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE

  4. 2. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

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

    Abstract : 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. READ MORE

  5. 3. Derivative Prices for Models using Levy Processes and Markov Switching

    Author : Sebastian Rasmus; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; programming; operations research; Statistics; Regime switching; Levy processes; Derivative pricing; Computer simulations; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Abstract : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. READ MORE

  6. 4. A nutrition intervention in men with prostate cancer : Exploring effects on bowel symptoms from radiotherapy, patient experience, and nutrient intake

    Author : Marina Forslund; Birgitta Johansson; Peter Nygren; Anna Ottenblad; Anna Winkvist; Uppsala universitet; []
    Keywords : MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; Nutrition intervention; bowel symptoms; radiotherapy; prostate cancer; Caring Sciences; Vårdvetenskap; Nutrition; Nutrition;

    Abstract : Objective The main objective of this thesis was to explore the effects of a nutrition intervention on acute and late bowel symptoms in men with localised prostate cancer treated with pelvic radiotherapy (study I), participants’ experiences from receiving the nutrition intervention (study II), and associations with nutrient intakes (study III).Methods A total of 180 men with localised prostate cancer referred to curative radiotherapy targeting the prostate gland and pelvic lymph nodes were recruited to the trial. READ MORE

  7. 5. On Lévy Processes in Mathematical Finance

    Author : Ulrika Trolle; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : The focus of the first article, On the Modelling of Financial Data with Generalized Hyperbolic Distributions, lies in studying the performance of the generalized hyperbolic distribution (GH), when fitted to historical data. Four different areas were selected. READ MORE