Search for dissertations about: "Optioner"

Showing result 1 - 5 of 7 swedish dissertations containing the word Optioner.

  1. 1. Essays on Equity Options

    Author : Malin Engström; Stockholms universitet; []

    Abstract : .... READ MORE

  2. 2. Calibration and Hedging in Finance

    Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    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

  3. 3. Essays on Financial Models

    Author : Henrik Amilon; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE

  4. 4. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

    Author : Mats Brodén; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

    Abstract : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. READ MORE

  5. 5. Numerical methods for the calibration problem in finance and mean field game equations

    Author : Love Lindholm; Anders Szepessy; Lina von Sydow; KTH; []

    Abstract : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. READ MORE