Sökning: "Jump Diffusion Process"

Visar resultat 6 - 10 av 12 uppsatser innehållade orden Jump Diffusion Process.

1. 6. 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 : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. LÄS MER

3. 7. 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

4. 8. 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

5. 9. 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

7. 10. 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