Search for dissertations about: "ying ni"

Found 5 swedish dissertations containing the words ying ni.

2. 1. Nonlinearly Perturbed Renewal Equations : asymptotic Results and Applications

   Author : Ying Ni; Dmitrii Silvestrov; Anatoliy Malyarenko; Mats Gyllenberg; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Nonlinearly perturbed renewal equation; perturbed renewal equation; nonlinear perturbation; non-polynomial perturbation; perturbed risk process; perturbed storage process; Mathematical statistics; Matematisk statistik; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : In this thesis we investigate a model of nonlinearly perturbed continuous-time renewal equation. Some characteristics of the renewal equation are assumed to have non-polynomial perturbations, more specifically they can be expanded with respect to a non-polynomial asymptotic scale. READ MORE

4. 2. Perturbed Renewal Equations with Non-Polynomial Perturbations

   Author : Ying Ni; Dmitrii Silvestrov; Anatoliy Malyarenko; Yuri Belyaev; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Renewal equation; perturbed renewal equation; non-polynomial perturbation; exponential asymptotic expansion; risk process; ruin probability; Mathematical statistics; Matematisk statistik; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k . READ MORE

5. 3. 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. 4. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

   Author : Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. READ MORE

7. 5. A Cubature Method for Solving Stochastic Equations : A Modern Monte-Carlo Approach with Applications to Financial Market

   Author : Hossein Nohrouzian; Anatoliy Malyarenko; Ying Ni; Christopher Engström; Viktor Abramov; Mälardalens universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Abstract : Before the financial crisis started in 2007, there were no significant spreads between the forward rate curves constructed either using the market quotes of overnight indexed swaps or those of forward rate agreements. After the crisis, we observe such spreads in the form of forward spread curves. READ MORE