Search for dissertations about: "CIR"
Showing result 1 - 5 of 6 swedish dissertations containing the word CIR.
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1. Contributions to Numerical Solution of Stochastic Differential Equations
Abstract : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. READ MORE
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2. Papers on Econometric Models
Abstract : Paper 1: Statistisk Tidskrift: The use of Macro-econometric models The first paper discusses the Gothenburg University Econometric System Study -GUESS model. The model was very dependent on the experience from the work on the STEP model of Ettlin and Lybeck. READ MORE
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3. Essays on the term structure of interest rates
Abstract : This volume contains five essays on topics related to interest rate theory.The first essay, Affine Term Structures and Short-Rate Realizations of Forward Rate Models Driven by Jump-Diffusion Processes, examines the problem of determining when a given forward rate model has a short-rate realization, and when a short-rate model gives rise to an affine term structure. READ MORE
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4. On inference in partially observed Markov models using sequential Monte Carlo methods
Abstract : This thesis concerns estimation in partially observed continuous and discrete time Markov models and focus on both inference about the conditional distribution of the unobserved process as well as parameter inference for the dynamics of the unobserved process. Paper A concerns calibration of advanced stock price models, in particular the Bates and NIG-CIR models, using options data observed through bid-ask spreads. READ MORE
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5. Forest edges in boreal landscapes - factors affecting edge influence
Abstract : The boreal forest in Fennoscandia has been subjected to major loss and fragmentation of natural forests due to intensive forestry. This has resulted in that forest edges are now abundant and important landscape features. Edges have documented effects on the structure, function and biodiversity in forests. READ MORE