Sökning: "Carl Paulin"

Hittade 2 uppsatser innehållade orden Carl Paulin.

  1. 1. Detecting anomalies in data streams driven by ajump-diffusion process

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Carl Paulin; [2021]
    Nyckelord :machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

    Sammanfattning : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. LÄS MER

  3. 2. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Carl Paulin; Maja Lindström; [2020]
    Nyckelord :Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER