Sökning: "Brownian"
Visar resultat 21 - 25 av 101 uppsatser innehållade ordet Brownian.
21. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities
Magister-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. LÄS MER
22. Sequential testing of the sign of the drift of a Brownian motion
Master-uppsats, Uppsala universitet/Tillämpad matematik och statistikSammanfattning : .... LÄS MER
23. Accuracy of Risk Measures For Black Swan Events
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. LÄS MER
24. Brownian Motion and the Dirichlet Problem
Kandidat-uppsats, Lunds universitet/Matematik LTH; Lunds universitet/Matematik (naturvetenskapliga fakulteten)Sammanfattning : In this Bachelor's thesis, a solution to the Dirichlet problem using Brownian motion is given. Brownian motion is constructed using Kolmogorov's existence and continuity theorems. Blumenthal's zero-one law and the strong Markov property in various formulations are proven. LÄS MER
25. Optimization of Subscription Lines of Credit in Private Equity : An extensive analysis containing several Investment-, Bridge Facility- and Installment Strategies using Monte Carlo Simulations
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : In recent years the use of subscription lines of credit has increased exponentially, from $86.1 millions (2014) to $5.3 billions (2018). The rapid growth of the phe- nomenon of private equity funds using subscription lines of credit when acquiring companies (instead of directly making capital drawdowns from investors), has poor academic coverage. LÄS MER