Search for dissertations about: "Computational finance"
Showing result 1 - 5 of 17 swedish dissertations containing the words Computational finance.
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1. Calibration and Hedging in Finance
Abstract : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. READ MORE
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2. Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives
Abstract : The purpose of this thesis is to present state of the art in radial basis function generated finite difference (RBF-FD) methods for pricing of financial derivatives. This work provides a detailed overview of RBF-FD properties and challenges that arise when the RBF-FD methods are used in financial applications. READ MORE
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3. Localised Radial Basis Function Methods for Partial Differential Equations
Abstract : Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. READ MORE
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4. Some Markov Processes in Finance and Kinetics : Markov Processes
Abstract : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. READ MORE
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5. Numerical methods for the calibration problem in finance and mean field game equations
Abstract : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. READ MORE