Sökning: "Jump estimation"

Visar resultat 6 - 10 av 15 uppsatser innehållade orden Jump estimation.

  1. 6. Merton Jump-Diffusion Modeling of Stock Price Data

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Furui Tang; [2018]
    Nyckelord :Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

    Sammanfattning : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. LÄS MER

  3. 7. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christian Vogl; [2016]
    Nyckelord :GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Sammanfattning : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. LÄS MER

  4. 8. A description on how horses’ jumping technique changes over time following “the Flyinge Model” in free jumping

    Kandidat-uppsats, SLU/Dept. of Anatomy, Physiology and Biochemistry

    Författare :Elin Fänge; [2016]
    Nyckelord :judge; landing point; linear scoring protocol; take off; young horse;

    Sammanfattning : A study was made on how the description of a horses’ jumping technique changed over time, when they were trained in free jumping in accordance with The Flyinge Model. The problem was that no study had been done to prove that The Flyinge Model had effect on horses’ jumping technique. LÄS MER

  5. 9. Facial Feature Tracking and Head Pose Tracking as Input for Platform Games

    Uppsats för yrkesexamina på avancerad nivå, Blekinge Tekniska Högskola/Institutionen för kreativa teknologier

    Författare :Anders Tobias Andersson; [2016]
    Nyckelord :facial feature tracking; head pose tracking; alternative interface; real-time; hci; human computer interface;

    Sammanfattning : Modern facial feature tracking techniques can automatically extract and accurately track multiple facial landmark points from faces in video streams in real time. Facial landmark points are defined as points distributed on a face in regards to certain facial features, such as eye corners and face contour. LÄS MER

  7. 10. Pricing of CO2 Emission Allowance Derivatives

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Oscar Göransson; Sebastian Berggren; [2016]
    Nyckelord :CO2; EUA; GARCH; JUMP-DIFFUSION;

    Sammanfattning : The aim of this paper is to analyse the pricing of carbon emission allowance futures and futures options to see how they can help us understand the intuition behind spot prices of the underlying emission allowance. We use data from the third time period within the European Union Emissions Trading Scheme. LÄS MER