Search for dissertations about: "mathematical loan portfolio"

Found 1 swedish dissertation containing the words mathematical loan portfolio.

  1. 1. Optimal Stopping and Model Robustness in Mathematical Finance

    University dissertation from Uppsala : Universitetsbiblioteket

    Author : Henrik Wanntorp; Uppsala universitet.; [2008]
    Keywords : Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; MATHEMATICS Applied mathematics Mathematical statistics; MATEMATIK Tillämpad matematik Matematisk statistik;

    Abstract : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. READ MORE