Search for dissertations about: "monte carlo finance"

Showing result 1 - 5 of 20 swedish dissertations containing the words monte carlo finance.

  2. 1. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

  4. 2. Simulation and Estimation of Diffusion Processes : Applications in Finance

    Author : Carl Åkerlindh; Finansiell matematik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Diffusion processes; Kalman filter; Uncented Kalman filter; EM algorithm; Kernel estimation; Bandwidth selection; Multilevel Monte Carlo; Simulated maximum likelihood estimation; Julia language;

    Abstract : Diffusion processes are the most commonly used models in mathematical finance, and are used extensively not only by academics but also practitioners. Nowadays a wide range of models, that can capture many of the effects observed in financial markets, are available. READ MORE

  5. 3. Some Markov Processes in Finance and Kinetics : Markov Processes

    Author : Mattias Sunden; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

    Abstract : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. READ MORE

  6. 4. Essays in real estate finance

    Author : Eric Clapham; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : dissertation contains seven papers. The first five are in the field of real estate finance, while the final two are asset pricing papers. The first paper explores equilibrium properties of lease rates. The framework is based on the concept of the term structure of lease rates, or the equilibrium rate as a function of lease length. READ MORE

  7. 5. Stock data, trade durations, and limit order book information

    Author : Ola Simonsen; Kurt Brännäs; Johan Knif; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Maximum likelihood; Estimation; ACD; News; Multivariate; Intraday; Market; Economics; Nationalekonomi;

    Abstract : This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. READ MORE