Sökning: "Ornstein-Uhlenbeck model"

Visar resultat 11 - 12 av 12 uppsatser innehållade orden Ornstein-Uhlenbeck model.

1. 11. Incomplete Market Models and The Housing Market

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

   Författare :Henrik Petri; Olof Gustafsson; [2010]
   Nyckelord :Housing Market; Calibration; Brownian motion; Ornstein Uhlenbeck; Good Deal Bounds;

   Sammanfattning : This thesis investigates the characteristics of the market for housing derivatives. We fit two incomplete market models to data using futures contracts on the S&P/Case-Shiller Composite 10 Index. LÄS MER

3. 12. Change point detection in an Ornstein-Uhlenbeck process (a reflection of trading in financial markets)

   Master-uppsats, Blekinge Tekniska Högskola/Sektionen för ingenjörsvetenskap

   Författare :Adetokunbo Ibukun FADAHUNSI; [2010]
   Nyckelord :Change-point detection; Stopping rules; Ornstein-Uhlenbeck process; Volatility; Alarm function; Financial Markets.;

   Sammanfattning : The financial market has become an area of increasing research interest for mathematicians and statisticians in recent years. Mathematical models and methods are increasingly being applied to study various parameters of the market. One of the parameters that have attracted lots of interest is `volatility'. LÄS MER