Sökning: "Hull White"
Visar resultat 6 - 10 av 20 uppsatser innehållade orden Hull White.
6. Klövhälsa hos svenska getter : en pilotstudie
Uppsats för yrkesexamina på avancerad nivå, SLU/Dept. of Clinical SciencesSammanfattning : Svenska getters klövstatus är idag i relativt okänd med avseende på klövhälsa och klövsjukdomar, men även klövkonformation. Klövens konformation beror på klövens tillväxt i relation till förslitning. LÄS MER
7. Praktisk modellering av vitvatten i den turbulenta vaken för jämförelse av marina propulsorer
Master-uppsats, KTH/Marina systemSammanfattning : En semi-empirisk modell som beskriver vitvattets sönderfall i den turbulenta vaken har härletts utifrån optiska studier av Stridsbåt 90H och Buster Magnum. Bakgrunden är ett ökat hot från rymdburna system mot den svenska Marinen. Fokus har varit Amfibiekårens båtpark. LÄS MER
8. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER
9. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER
10. Analysis of Student Loan Asset-Backed Securities : Construction of a Valuation Model using a Trinomial Interest Rate Tree
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : Student debt in the U.S has grown rapidly over the last decades. A common practice among lenders is to pool the loans into securities that are sold off and traded between institutional investors. Since these securities have no market price this thesis aims to develop a valuation model. LÄS MER