Sökning: "Jump estimation"
Visar resultat 1 - 5 av 15 uppsatser innehållade orden Jump estimation.
1. Fragile Foal Syndrome (FFS) inverkan på hoppförmåga och exteriör hos svenska varmblod (SWB) : varför hoppar hästar med samma mutation på olika sätt?
Kandidat-uppsats, SLU/Dept. of Animal Breeding and GeneticsSammanfattning : Fragile Foal Syndrome (FFS) är en genetisk sjukdom som drabbar hästar. Sjukdomen karaktäriseras av svag och ömtålig bindväv. Detta bidrar till att individer homozygota för anlaget aborteras eller avlivas direkt efter fölning. Syndromet beror på en mutation som påverkar i kollagenproduktion, vilken nedärvs autosomalt recessivt. LÄS MER
2. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study
Kandidat-uppsats,Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER
3. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities
Kandidat-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. LÄS MER
4. Break Point Detection for Strategic Asset Allocation
Master-uppsats, KTH/Matematisk statistikSammanfattning : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. LÄS MER
5. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER