Search for dissertations about: "optimal liquidation"

Found 4 swedish dissertations containing the words optimal liquidation.

2. 1. Optimal Sequential Decisions in Hidden-State Models

   Author : Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
   Keywords : 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

4. 2. Optimal timing decisions in financial markets

   Author : Martin Vannestål; Erik Ekström; Luis H. R. Alvarez E.; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal stopping; American options; optimal stopping games; incomplete information; Mathematics; Matematik;

   Abstract : This thesis consists of an introduction and five articles. A common theme in all the articles is optimal timing when acting on a financial market. The main topics are optimal selling of an asset, optimal exercising of an American option, optimal stopping games and optimal strategies in trend following trading. READ MORE

5. 3. Calibration, Optimality and Financial Mathematics

   Author : Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

   Abstract : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. READ MORE

6. 4. Macroeconomic aspects of capital flows to small open economies in transition

   Author : Kristian Jönsson; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : With the internationalization of financial markets, short-term capital flows to emerging market economies have become an important phenomenon in the world. The papers in this dissertation are concerned with investigating the effects of such flows in the receiving countries. READ MORE