Search for dissertations about: "Sergei Sivestrov"

Found 1 swedish dissertation containing the words Sergei Sivestrov.

  1. 1. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Author : Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. READ MORE