Sökning: "Non-parametric models"

Visar resultat 6 - 10 av 63 uppsatser innehållade orden Non-parametric models.

  1. 6. Modeling the yield curve in conjunction with the FX spots

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Philip Lundqvist; [2022]
    Nyckelord :Yield Curve; FX spots; Bootstrap; Hull-White; Simulation; Calibration;

    Sammanfattning : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. LÄS MER

  3. 7. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

  4. 8. Boom, Bust and Betrayal- Business cycles and securities fraud in the US between 1996-2019

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Viktoria Carshaw; Rinske de Vries; [2021-06-29]
    Nyckelord :;

    Sammanfattning : We study the relationship between macroeconomic factors and the number of settled securities fraud cases through the proxy of SEC class action lawsuits. We perform an empirical study of all SEC class action convictions between 1996-2019 and their relationship with business cycles as proxied by a housing price index and GDP. LÄS MER

  5. 9. Modelling rare events using non-parametric machine learning classifiers - Under what circumstances are support vector machines preferable to conventional parametric classifiers?

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Lukas Ma; [2021-04-06]
    Nyckelord :;

    Sammanfattning : Rare event modelling is an important topic in quantitative social science research. However, despite the fact that traditional classifiers based upon general linear models (GLM) might lead to biased results, little attention in the social science community is devoted to methodological studies aimed at alleviating such bias, even fewer of them have considered the use of machine learning methods to tackle analytical problems imposed by rare events. LÄS MER

  7. 10. Urban infrastructure inundation risk from permanent sea-level rise scenarios in London (UK), Bangkok (Thailand) and Mumbai (India): A comparative analysis

    Master-uppsats, Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Författare :Shawn Pace; [2021]
    Nyckelord :Geography; GIS; Climate Change; Sea-Level Rise; Urban Infrastructure; DEM; London; Mumbai; Bangkok; Earth and Environmental Sciences;

    Sammanfattning : Due to anthropogenically created climate change, global cities are facing inundation by rising sea levels. This study aimed to fill knowledge gaps in understanding the exposure of urban infrastructure such as roads, railways, buildings and parks to sea-level rise (SLR) scenarios, and how this would affect local populations. LÄS MER