Search for dissertations about: "Jump-diffusion models"

Found 4 swedish dissertations containing the words Jump-diffusion models.

  1. 1. Pricing of Some Path-Dependent Options on Equities and Commodities

    University dissertation from Göteborg

    Author : Mats Kjaer; Göteborgs universitet.; Gothenburg University.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE

  2. 2. Calibration, Optimality and Financial Mathematics

    University dissertation from Uppsala : Department of Mathematics

    Author : Bing Lu; Uppsala universitet.; [2013]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Abstract : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. READ MORE

  3. 3. Interacting particle systems in varying environment, stochastic domination in statistical mechanics and optimal pairs trading in finance

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Marcus Warfheimer; Göteborgs universitet.; Gothenburg University.; [2010]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Interacting particle systems; contact process; randomly evolving environment; spin systems; Ising model; fuzzy Potts model; pairs trading; optimal stopping;

    Abstract : In this thesis we first consider the contact process in a randomly evolving environment, introduced by Erik Broman. This process is a generalization of the contact process where the recovery rate can vary between two values. The rate which it chooses is determined by a background process, which evolves independently at different sites. READ MORE

  4. 4. Approximation and Calibration of Stochastic Processes in Finance

    University dissertation from Stockholm : KTH

    Author : Jonas Kiessling; KTH.; [2010]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Abstract : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers.The introduction is as an overview of the role of mathematics incertain areas of finance. READ MORE