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Visar resultat 1 - 5 av 12 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

    Kandidat-uppsats,

    Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
    Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

    Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER

  3. 2. Deep learning for portfolio optimization

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :JOHN N. MBITI; [2021]
    Nyckelord :Portfolio optimization; optimal portfolio; jump diffusion; Itô-Lévy process; stochastic control; dynamic programming; HJB equation; utility optimization; stochastic gradient descent; Deep learning; neural network.;

    Sammanfattning : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. LÄS MER

  4. 3. Detecting anomalies in data streams driven by ajump-diffusion process

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Carl Paulin; [2021]
    Nyckelord :machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

    Sammanfattning : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. LÄS MER

  5. 4. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sam Johansson; [2019]
    Nyckelord :CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Sammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER

  7. 5. Merton Jump-Diffusion Modeling of Stock Price Data

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Furui Tang; [2018]
    Nyckelord :Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

    Sammanfattning : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. LÄS MER