Search for dissertations about: "monotonicity in the volatility"

Found 3 swedish dissertations containing the words monotonicity in the volatility.

  1. 1. Selected Problems in Financial Mathematics

    Author : Erik Ekström; Johan Tysk; Svante Janson; Lane P. Hughston; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; American options; convexity; monotonicity in the volatility; robustness; optimal stopping; parabolic equations; free boundary problems; volatility; Russian options; game options; excessive functions; superreplication; smooth fit; Matematisk analys; Mathematical analysis; Analys;

    Abstract : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. READ MORE

  2. 2. On the pricing equations of some path-dependent options

    Author : Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE

  3. 3. Optimal Sequential Decisions in Hidden-State Models

    Author : Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

    Abstract : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. READ MORE