Sökning: "Merton model"

Visar resultat 1 - 5 av 70 uppsatser innehållade orden Merton model.

  1. 1. Simulation Based Methods for Credit Risk Management in Payment Service Provider Portfolios

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Knut Dahlström; Carl Forssbeck; [2023]
    Nyckelord :Credit Risk; Monte Carlo simulation; Importance Sampling; Merton; Kreditrisk; Monte Carlo simulation; Importance Sampling; Merton;

    Sammanfattning : Payment service providers have unique credit portfolios with different characteristics than many other credit providers. It is therefore important to study if common credit risk estimation methods are applicable to their setting. LÄS MER

  3. 2. Merton's Portfolio Problem under Jourdain--Sbai Model

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sajedeh Saadat; [2023]
    Nyckelord :Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Sammanfattning : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. LÄS MER

  4. 3. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Tara Romsäter; [2023]
    Nyckelord :Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

    Sammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER

  5. 4. Application of the Merton Model and the Altman Z-score Model in Credit Risk Assessment - an Empirical Study on Chinese Listed Companies

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Runzhou Chen; Hongzhe Fu; [2023]
    Nyckelord :Credit risk assessment; the Merton Model; The Altman Z-score model; Chinese market; Business and Economics;

    Sammanfattning : Corporate default poses significant risks to investors and stakeholders, highlighting the importance of predicting and managing financial risk effectively. When the geographical scope is narrowed down to China, the unique characteristics of the Chinese market, such as the lack of comprehensive credit risk databases and the influence of state-owned enterprises and small-medium enterprises, present challenges in accurately assessing creditworthiness. LÄS MER

  7. 5. Artificial Intelligence for Option Pricing

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Emil Hietanen; [2022-06-19]
    Nyckelord :Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Sammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER