Search for dissertations about: "jump-diffusion"
Showing result 1 - 5 of 18 swedish dissertations containing the word jump-diffusion.
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1. Valuation and Optimal Strategies in Markets Experiencing Shocks
Abstract : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. READ MORE
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2. Applications of Bayesian Econometrics to Financial Economics
Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE
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3. Pricing of Some Path-Dependent Options on Equities and Commodities
Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE
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4. Calibration, Optimality and Financial Mathematics
Abstract : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. READ MORE
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5. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets
Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE