Sökning: "Jump Diffusion Process"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Jump Diffusion Process.

  1. 1. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. 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. 3. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Max Andersson; [2015]
    Nyckelord :Fast Fourier transform; Spread options; Derivatives pricing; Stochastic volatility; Jump diffusion; Business and Economics; Mathematics and Statistics;

    Sammanfattning : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). LÄS MER

  4. 4. Pricing Timer Options under Jump-Diffusion Processes

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Janis Müller; [2014]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. LÄS MER

  5. 5. Pricing Contingent Convertibles using an EquityDerivatives Jump Diusion Approach

    Master-uppsats, KTH/Matematisk statistik

    Författare :Henrik Teneberg; [2012]
    Nyckelord :Contingent Convertible; CoCo; jump-diusion; pricing; adaptive mesh model;

    Sammanfattning : This paper familiarizes the reader with contingent convertibles and their role in the current financial landscape. A contingent convertible is a security behaving like a bond in normal times, but that converts into equity or is written down in times of turbulence. LÄS MER

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