Sökning: "Geometrisk Brownsk rörelse"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden Geometrisk Brownsk rörelse.
1. Comparison of Indirect Inference and the Two Stage Approach
Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : Parametric models are used to understand dynamical systems and predict its future behavior. It is difficult to estimate the model’s parametric values since there are usually many parameters and they are highly correlated. LÄS MER
2. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. LÄS MER
3. Viability Evaluation of the Turtle Trading Rules on Major Market Indexes
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The Turtle Trading Rules was a successful trend-following trading strategy for commodities in the 1980s but has lost recognition in recent days. The strategy revolved around rules for entering and exiting trades as well as position sizing for each trade. LÄS MER
4. Ett generationsneutralt avkastningsmål : Asset Liability Management analys för buffertfonderna i det svenska pensionssystemet
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : Syftet med detta arbete var att fastställa det avkastningsmål som buffertfonderna bör ha för att bidra till största möjliga nytta för det svenska pensionssystemet samt att analysera styrkan och känsligheten i systemet. För att besvara syftet genomfördes en Asset Liability Management analys, där risk och avkastning optimerades samtidigt som hänsyn togs till pensionssystemets skulder och rättvisa mellan generationer. LÄS MER
5. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. LÄS MER