Sökning: "Emelie Järnberg"

Hittade 2 uppsatser innehållade orden Emelie Järnberg.

1. 1. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

   Master-uppsats, KTH/Matematisk statistik

   Författare :Emelie Järnberg; [2016]
   Nyckelord :Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

   Sammanfattning : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. LÄS MER

3. 2. Convertible Bonds: a Qualitative and Numerical Analysis

   Kandidat-uppsats, KTH/Matematik (Inst.)

   Författare :Bianca Dufour Partanen; Emelie Järnberg; [2014]
   Nyckelord :;

   Sammanfattning : A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. LÄS MER