Search for dissertations about: "Stochastic Volatilities"

Showing result 1 - 5 of 10 swedish dissertations containing the words Stochastic Volatilities.

  2. 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 : NATURVETENSKAP; NATURAL SCIENCES; 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

  4. 2. 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

  5. 3. 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

  6. 4. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Author : Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. READ MORE

  7. 5. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE