Search for dissertations about: "HJM model"

Found 3 swedish dissertations containing the words HJM model.

  1. 1. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE

  2. 2. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Author : Raul Tempone Olariaga; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

    Abstract : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. READ MORE

  3. 3. Weak approximation of ItÔ stochastic differential equations and related adaptive algorithms

    Author : Raúl Tempone Olariaga; KTH; []
    Keywords : Adaptive methods; A posteriori error estimates; Stochastic differential equations; Monte Carlo methods; HJM model; Option price; Bond market; TECHNOLOGY; TEKNIKVETENSKAP;

    Abstract : .... READ MORE