Sökning: "Finansiell matematik"

Visar resultat 1 - 5 av 27 uppsatser innehållade orden Finansiell matematik.

  1. 1. Synthesis of Tabular Financial Data using Generative Adversarial Networks

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Anton Karlsson; Torbjörn Sjöberg; [2020]
    Nyckelord :Generative Adversarial Networks; GAN; Generative Modeling; Tabular data; Financial data; Machine Learning; Statistical learning; Applied Mathematics; GANs; Generativa modeller; Tabulär data; Finansdata; Maskininlärning; Statistisk inlärning; Tillämpad Matematik;

    Sammanfattning : Digitalization has led to tons of available customer data and possibilities for data-driven innovation. However, the data needs to be handled carefully to protect the privacy of the customers. Generative Adversarial Networks (GANs) are a promising recent development in generative modeling. LÄS MER

  2. 2. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Hilmersson; [2020]
    Nyckelord :Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Sammanfattning : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. LÄS MER

  3. 3. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Jacob Barnholdt; Filip Carlsson; [2020]
    Nyckelord :Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

    Sammanfattning : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. LÄS MER

  4. 4. Modeling the Relation Between Implied and Realized Volatility

    Master-uppsats, KTH/Matematisk statistik

    Författare :Tobias Brodd; [2020]
    Nyckelord :Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

    Sammanfattning : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. LÄS MER

  5. 5. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rawand Sultani; [2020]
    Nyckelord :Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

    Sammanfattning : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. LÄS MER