Search for dissertations about: "second-order theory"

Showing result 16 - 20 of 107 swedish dissertations containing the words second-order theory.

  2. 16. Asymptotic Expansions of Crossing Rates of Stationary Random Processes

    Author : Oskar Hagberg; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; Statistik; operationsanalys; aktuariematematik; programming; operations research; Matematik; Statistics; sea elevation; Mathematics; asymptotic expansions; wave crest hight distribution; Saddle point approximations; Crossing rate; programmering;

    Abstract : The crossing rate of a stationary random process is a valuble tool when studying crest hight distributions and maxima of sea level elevation. This thesis considers two approximation techinques for cases when the crossing rate cannot be exactly computed. READ MORE

  4. 17. Statistical analysis of non-Gaussian environmental loads and responses

    Author : Ulla E.B. Machado; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programmering; aktuariematematik; Statistik; operationsanalys; Statistics; operations research; programming;

    Abstract : The thesis deals mainly with offshore engineering related problems where the dominant source of uncertainty is related to the loading. Loads arise from environmental random processes; e.g. waves, currents and winds. READ MORE

  5. 18. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Author : Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. READ MORE

  6. 19. 3D modelling of epidermal nerve fiber patterns

    Author : Konstantinos Konstantinou; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; diabetic neuropathy; Anisotropy; point processes.; epidermal nerve fibers;

    Abstract : Neuropathical disorders, such as diabetic neuropathy, damage the nerve structure in the epidermis. This thesis presents statistical analyses and models for the epidermal nerve fibers (ENFs). The main objective is to improve our understanding regarding the three dimensional ENF structure and for this purpose, stochastic models are constructed. READ MORE

  7. 20. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE