Search for dissertations about: "Default probability"

Showing result 1 - 5 of 21 swedish dissertations containing the words Default probability.

  2. 1. Bridges with Random Length and Pinning Point for Modelling the Financial Information

    Author : Mohammed Louriki; Astrid Hilbert; Dorje C. Brody; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Brownian motion; Brownian bridge; Gaussian process; Gaussian bridge; Gamma process; Gamma bridge; Lévy process; pinned Lévy process; Markov process; Bayes theorem; stopping time; default time; semi-martingale decomposition; credit risk; defaultable bond; last passage time; enlargement of filtration; stochastic filtering theory; information-based asset pricing; market filtration.; Mathematics; Matematik;

    Abstract : The impact of the information concerning an event of interest occurring at a future random time is the main topic of this work. The event can massively influence financial markets and the problem of modelling the information on the time at which it occurs is of crucial importance in financial modelling. READ MORE

  4. 2. Information and Default Risk in Financial Valuation

    Author : Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    Abstract : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. READ MORE

  5. 3. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Author : Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE

  6. 4. Feasible computation of generalized linear mixed models with application to credit risk modelling

    Author : Md. Moudud Alam; Göran Boström; Örebro universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Credit risk; cluster correlation; GLMM; large data; two-step pseudo likelihood estimation; defaults contagion; predictive likelihood; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Statistics; Statistik; Statistics; Statistik; Complex Systems – Microdata Analysis;

    Abstract : This thesis deals with developing and testing feasible computational procedures to facilitate the estimation of and carry out the prediction with the generalized linear mixed model (GLMM) with a scope of applying them to large data sets. The work of this thesis is motivated from an issue arising incredit risk modelling. READ MORE

  7. 5. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Author : Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Abstract : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. READ MORE