Search for dissertations about: "mean reversion"

Showing result 1 - 5 of 10 swedish dissertations containing the words mean reversion.

  2. 1. Financial Applications of Markov Chain Monte Carlo Methods

    Author : Andreas Graflund; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finansiering; Financial science; ekonomiska system; ekonomisk politik; ekonomisk teori; Nationalekonomi; economic policy; economic systems; economic theory; Economics; econometrics; Mean Reversion; Diversification; Real Estate Stocks; Markov Chain Monte Carlo Methods; Stock Markets; ekonometri;

    Abstract : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. READ MORE

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

    Author : Anders Muszta; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; 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

  5. 3. Valuation and hedging of long-term asset-linked contracts

    Author : Henrik Andersson; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : The five essays in this dissertation are all concerned with how commodity price uncertainty affects the valuation of real and financial assets.  Focusing on the stochastic process approximating the price process of the commodity, a time-inhomogeneous mean reverting process is suggested and used in the valuation of a pulp mill. READ MORE

  6. 4. The Pricing of Corporate Bonds and Determinants of Financial Structure

    Author : Håkan Thorsell; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis contain three chapters. Default Risk in Corporate Bond Pricing. This chapter provides a model for how the corporate bond default risk influences the systematic risk and an empirical analysis of the systematic and idiosyncratic parts of U.S. READ MORE

  7. 5. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Author : Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. READ MORE