Sökning: "Lévy processes"
Visar resultat 1 - 5 av 7 uppsatser innehållade orden Lévy processes.
- Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten
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
- Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik
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
- Master-uppsats, Uppsala universitet/Analys och sannolikhetsteori
Sammanfattning : .... LÄS MER
- Master-uppsats, KTH/Matematisk statistik
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
- Master-uppsats, Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik
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