Sökning: "Beata Ide"

Hittade 2 uppsatser innehållade orden Beata Ide.

  1. 1. Revision Moment for the Retail Decision-Making System

    Magister-uppsats, Högskolan i Halmstad; Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Författare :Agnieszka Beata Juszczuk; Evgeniya Tkacheva; [2010]
    Nyckelord :Financial Mathematics; Loan origination; Logistic regression model; Change-point problem; Maximum likelihood method; Poisson process; Disorder problem; Non-homogeneous Poisson process; Optimal stopping problem; Free-boundary problem;

    Sammanfattning : In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. LÄS MER

  3. 2. Option pricing under the double exponential jump-diffusion model by using the Laplace transform : Application to the Nordic market

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Natalia Beata Nadratowska; Damian Prochna; [2010]
    Nyckelord :Financial Mathematics; Laplace transform; Kou model; Double Exponential Jump-Diffusion; option pricing;

    Sammanfattning : In this thesis the double exponential jump-diffusion model is considered and the Laplace transform is used as a method for pricing both plain vanilla and path-dependent options. The evolution of the underlying stock prices are assumed to follow a double exponential jump-diffusion model. To invert the Laplace transform, the Euler algorithm is used. LÄS MER