Search for dissertations about: "stochastic finance"

Showing result 1 - 5 of 33 swedish dissertations containing the words stochastic finance.

  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. Public Policy, Household Finance and the Macroeconomy

    Author : Jakob Almerud; Paul Klein; David Domeij; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Public policy; household finance; macroeconomics; numerical models; housing finance; Economics; nationalekonomi;

    Abstract : The thesis contains four separate essays, spanning questions of the interaction between public policy, household finance and the macroeconomy. How does public policy affect macroeconomic outcomes, and the choices and welfare of households, and what are households’ optimal financial responses to changes in macroeconomic environments? Furthermore, the thesis includes a development of a method, which is helpful to answer questions like the ones stated above. READ MORE

  5. 3. Essays in mathematical finance

    Author : Agatha Murgoci; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  6. 4. Approximation and Calibration of Stochastic Processes in Finance

    Author : Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Abstract : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. READ MORE

  7. 5. Essays in Quantitative Finance

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