Sökning: "Variance Gamma Process"
Hittade 5 uppsatser innehållade orden Variance Gamma Process.
1. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. LÄS MER
2. A Monte Carlo simulation study of collimators for a high-spatial-resolution Gamma Emission Tomography instrument
Master-uppsats, Uppsala universitet/Tillämpad kärnfysikSammanfattning : The present master thesis concerns a study of collimator designs for a high-spatial-resolution Gamma Emission Tomography (GET) instrument for used fuels utilizing Monte Carlo simulation codes. Designing a collimator for this purpose is a multilateral process that requires many interconnected and conflicting objectives to be taken into consideration. LÄS MER
3. A simple model of volatility in financial data - An alternative to GARCH models
Magister-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. LÄS MER
4. Return Models and Covariance Matrices
Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysikSammanfattning : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. LÄS MER
5. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. LÄS MER