Search for dissertations about: "Regime-Switching Models"

Showing result 1 - 5 of 15 swedish dissertations containing the words Regime-Switching Models.

2. 1. Markov Regime Switching in Economic Time Series

   Author : Ulf Erlandsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; forecasting; Markov switching; exchange rates; interest rates; business cycle; economic policy; economic systems; economic theory; econometrics; Economics; currency crisis;

   Abstract : This dissertation studies statistical properties and applications of the Markov switching models for economic time series in five separate papers. The two main statistical themes are (i) the task of choosing the number of states to use in the model, and (ii) inference on time-varying transition probabilities. READ MORE

4. 2. 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

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. Market Models with Stochastic Volatility

   Author : Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. READ MORE

7. 5. Asset Pricing Models with Stochastic Volatility

   Author : Jean-Paul Murara; Sergei Silvestrov; George Fodor; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. READ MORE