Search for dissertations about: "monte carlo simulation in finance"

Showing result 1 - 5 of 8 swedish dissertations containing the words monte carlo simulation in finance.

  1. 1. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; 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

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

    Author : Carl Åkerlindh; Finansiell matematik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; 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

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

    Author : Mattias Sundén; Mattias Sunden; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : 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

  4. 4. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Author : Anders C Johansson; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    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

  5. 5. Inference in Temporal Graphical Models

    Author : Jonas Hallgren; Timo Koski; Dubhashi Devdatt; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Abstract : This thesis develops mathematical tools used to model and forecast different economic phenomena. The primary starting point is the temporal graphical model. Four main topics, all with applications in finance, are studied. READ MORE