Search for dissertations about: "monte carlo simulation in finance"
Showing result 1 - 5 of 9 swedish dissertations containing the words monte carlo simulation in finance.
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1. Essays in Quantitative Finance
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
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2. Simulation and Estimation of Diffusion Processes : Applications in Finance
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
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3. Some Markov Processes in Finance and Kinetics : Markov Processes
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
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4. Essays in mathematical finance : modeling the futures price
Abstract : This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. READ MORE
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5. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets
Abstract : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. READ MORE