Sökning: "Financial Mathematics"
Visar resultat 11 - 15 av 171 uppsatser innehållade orden Financial Mathematics.
11. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. LÄS MER
12. Dynamic Covariance Modelling Using Generalised Wishart Processes
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. LÄS MER
13. Artificial Intelligence for Option Pricing
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER
14. Modeling Interest Rate Risk in the Banking Book
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER
15. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion
Master-uppsats, KTH/Matematik (Avd.)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