Sökning: "Lévy processes"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Lévy processes.

  1. 1. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Fredrik Gerdin Börjesson; [2021]
    Nyckelord :Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Sammanfattning : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. LÄS MER

  2. 2. Option Pricing on Levy Based Markets

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Rafael Velasquez; [2020]
    Nyckelord :;

    Sammanfattning :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. LÄS MER

  3. 3. Pricing American Options using Lévy Processes and Monte Carlo Simulations

    Master-uppsats, Uppsala universitet/Analys och sannolikhetsteori

    Författare :Jonas Bergström; [2015]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  4. 4. On Calibrating an Extension of the Chen Model

    Master-uppsats, KTH/Matematisk statistik

    Författare :Martin Möllberg; [2015]
    Nyckelord :;

    Sammanfattning : There are many ways of modeling stochastic processes of short-term interest rates. One way is to use one-factor models which may be easy to use and easy to calibrate. Another way is to use a three-factor model in the strive for a higher degree of congruency with real world market data. Calibrating such models may however take much more effort. LÄS MER

  5. 5. Return Models and Covariance Matrices

    Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

    Författare :Xiaolei Xie; [2014]
    Nyckelord :returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

    Sammanfattning : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. LÄS MER