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Showing result 1 - 5 of 41 swedish dissertations matching the above criteria.

2. 1. Calibration and Hedging in Finance

   Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Keywords : 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

4. 2. Robust Energy Systems. Strategies for CO2 Emission Control

   Author : Tomas Larsson; Chalmers tekniska högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; No Hedging; scenario analysis; IEA-MARKAL; energy planning; Hedging; carbon dioxide;

   Abstract : This dissertation deals with strategies to handle uncertainty about restrictions in CO2 emissions. A method has been developed for treating sequential decisions in energy planning. The method is an extension of the conventional scenario analysis, and is based on the evaluation of decision trees. READ MORE

5. 3. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

   Author : Mats Brodén; Matematisk statistik; []
   Keywords : 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

6. 4. Essays on Risks in Investment Strategies

   Author : Ian Khrashchevskyi; Ai Jun Hou; Jarkko Peltomäki; Mika Vaihekoski; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; investment strategies; risk; hedging; diversification; derivatives; safe haven; investor behavior; financial education; företagsekonomi; Business Administration;

   Abstract : This dissertation contains three articles, which investigate different types of risks investors encounter during the investment process.Article I investigates the relation between macroeconomic risk and higher-moment moment risk premia. READ MORE

7. 5. Essays on Corporate Risk Management

   Author : Håkan Jankensgård; Företagsekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Risk management; risk measurement; hedging; enterprise risk; centralization;

   Abstract : Companies spend a lot of attention and resources on something commonly referred to as ‘risk management’. Despite its apparent importance and intuitive appeal, corporate risk management is fraught with many difficulties, both on the conceptual and practical level. READ MORE