Search for dissertations about: "Erik Lindström"
Showing result 16 - 17 of 17 swedish dissertations containing the words Erik Lindström.
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16. Generative models of limit order books
Abstract : In this thesis generative models in machine learning are developed with the overall aim to improve methods for algorithmic trading on high-frequency electronic exchanges based on limit order books. The thesis consists of two papers. READ MORE
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17. 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