Search for dissertations about: "local volatility"

Showing result 1 - 5 of 21 swedish dissertations containing the words local volatility.

  1. 1. Essays on stochastic volatility

    Author : Marcus Nossman; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE

  2. 2. Contributions to Numerical Solution of Stochastic Differential Equations

    Author : Anders Muszta; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

    Abstract : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. READ MORE

  3. 3. Calibration and Hedging in Finance

    Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; 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. 4. Fine and Ultrafine Particles from Combustion Sources - Investigations with In-situ Techniques

    Author : Joakim Pagels; Ergonomi och aerosolteknologi; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; pollution control; Environmental technology; Teknik; Technological sciences; Indoor Air; In-Situ Measurement; Biomass Combustion; Morphology; Hygroscopic Growth; Volatility; TDMA; APS; ELPI; Respiratory Deposition; Fine Particles; Miljöteknik; kontroll av utsläpp; Ultrafine Particles;

    Abstract : Fine airborne particles are associated with adverse health effects in the human population. The aim of this research was to develop and evaluate methods for in-situ characterisation of fine and ultrafine particles and to determine their deposition in the human airways. READ MORE

  5. 5. Unconventional Monetary Policy at the International, National and Local Level

    Author : Martin Nordström; Pär Österholm; Niclas Kreuger; Lars Hultkrantz; Jesper Lindé; Örebro universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bayesian VAR; Cointegration; Forecast evaluation; Municipal debt; Spread; Stochastic volatility; Sveriges Riksbank; Time-varying parameters; Unconventional monetary policy;

    Abstract : This thesis is based on four essays. The first investigates time-variation in the relationship between short interest rates and consumption in the USA and Sweden. Results based on Bayesian VAR models indicate that the short rate ceased to respond to consumption shocks when constrained by the zero lower bound. READ MORE