Search for dissertations about: "Anatoliy Malyarenko"

Showing result 1 - 5 of 13 swedish dissertations containing the words Anatoliy Malyarenko.

  1. 1. Perturbed Markov Chains with Damping Component and Information Networks

    Author : Benard Abola; Sergei Silvestrov; Christopher Engström; Dmitrii Silvestrov; Anatoliy Malyarenko; Milica Rancic; Vladimir Anisimov; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis brings together three thematic topics, PageRank of evolving tree graphs, stopping criteria for ranks and perturbed Markov chains with damping component. The commonality in these topics is their focus on ranking problems in information networks. READ MORE

  2. 2. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Author : Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. READ MORE

  3. 3. Extreme points of the Vandermonde determinant and phenomenological modelling with power exponential functions

    Author : Karl Lundengård; Sergei Silvestrov; Milica Rancic; Anatoliy Malyarenko; Palle Jorgensen; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis discusses two topics, finding the extreme points of the Vandermonde determinant on various surfaces and phenomenological modelling using power-exponential functions. The relation between these two problems is that they are both related to methods for curve-fitting. READ MORE

  4. 4. Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Kimmo Eriksson; Anatoliy Malyarenko; Johan Tysk; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Applied mathematics; Tillämpad matematik; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : This thesis consists of an introduction and five articles devoted to optimal stopping problems of American type options. In article A, we get general convergence results for the American option rewards for multivariate Markov price processes. These results are used to prove convergence of tree approximations presented in papers A, B, C and E. READ MORE

  5. 5. Optimal Stopping and Convergence of Option Rewards

    Author : Robin Lundgren; Dmitrii Silvestrov; Anatoliy Malyarenko; Kimmo Eriksson; Erik Ekström; Mälardalens högskola; []
    Keywords : ;

    Abstract : This thesis is based on two articles devoted to optimal stopping problems of American type options. In article A, we study the problem of optimal reselling for European options. The problem can be transformed to the problem of exercising an American option with two underlying. READ MORE