Search for dissertations about: "Sebastian Rasmus"

Found 1 swedish dissertation containing the words Sebastian Rasmus.

  2. 1. 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