Sökning: "log-normal"

Visar resultat 1 - 5 av 22 uppsatser innehållade ordet log-normal.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Olof Hummelgren; [2022]
    Nyckelord :fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER

  3. 2. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Linus Sigurdson; Fritiof Carling; [2020]
    Nyckelord :Banks; RNPD; Merton model; Credit spreads; Risk;

    Sammanfattning : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. LÄS MER

  4. 3. Att mäta SVT-program

    Kandidat-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Johan Brandby; Julia Wennerblom; Stina Andersson; Therese Gardell; [2019-07-01]
    Nyckelord :;

    Sammanfattning : The purpose of this study is to examine whether or not the concept of informational advantage in series has a correlation with the popularity of the series. Informational advantage as a dramaturgical tool means that the viewer, at any given point throughout the series, either knows more, less or the same amount as the character in the show; these stages are called dramatic irony, mystery, and suspence respectively. LÄS MER

  5. 4. Pricing of a balance sheet option limited by a minimum solvency boundary

    Master-uppsats, KTH/Matematisk statistik

    Författare :Josefine Bofeldt; Sara Joon; [2019]
    Nyckelord :;

    Sammanfattning : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. LÄS MER

  7. 5. Pricing Interest Rate Derivatives in a Negative Yield Environment

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Lavinia Rognone; [2017-07-26]
    Nyckelord :Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Sammanfattning : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. LÄS MER