Search for dissertations about: "Modulated volatility"

Found 4 swedish dissertations containing the words Modulated volatility.

  2. 1. Semi-Markov Models for Insurance and Option Rewards

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE

  4. 2. Random Models in Time and Space with Financial, Economics and Engineering Applications : Structural Covariance in Space and Stochastic Variability in Time

    Author : Nima Shariati; Statistiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cross-border spillover; Inter- and intralocation effects; Multivariate spatial regression models; Panel data; Spatial econometric models; Gamma distributed variances; Generalized Laplace distribution; Modulated volatility; Non-Gaussian time series; Road profile; Spatial vector autoregressive model; Outlier; Robust control chart; Robust estimation;

    Abstract : In this thesis, we model stochastic processes in time and space. We focus on the processes whose covariance structure is either changing over the time span, or depends on the location in space. We develop models that appropriately describe and analyze such data behaviors in various different fields including finance, economics and engineering. READ MORE

  5. 3. Derivative Prices for Models using Levy Processes and Markov Switching

    Author : Sebastian Rasmus; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; programming; operations research; Statistics; Regime switching; Levy processes; Derivative pricing; Computer simulations; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Abstract : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. READ MORE

  6. 4. Olfaction in the spruce bark beetle, Ips typographus : receptor, neuron and habitat

    Author : Martin Andersson; Sveriges lantbruksuniversitet; Sveriges lantbruksuniversitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The bark beetle Ips typographus regularly kills spruce trees in the Palearctic. Spruces are colonized by means of attraction to an aggregation pheromone. Attraction is modulated by anti-attractive volatiles (NHV) from non-host plants. In this thesis, olfaction in I. READ MORE