Search for dissertations about: "quadratic hedging"

Found 3 swedish dissertations containing the words quadratic hedging.

  2. 1. Calibration and Hedging in Finance

    Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Abstract : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. READ MORE

  4. 2. Numerical methods for the calibration problem in finance and mean field game equations

    Author : Love Lindholm; Anders Szepessy; Lina von Sydow; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. READ MORE

  5. 3. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

    Author : Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

    Abstract : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. READ MORE