Sökning: "Simon Edvinsson"
Hittade 4 uppsatser innehållade orden Simon Edvinsson.
1. The Schmeidler expected utility model : Theory, implications, and an application to European call options
Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : In this essay we present a self-contained proof of the Schmeidler expected utility theorem. Furthermore, we give an overview of the implications of today with focus on the optimal investment with non-additive expected utility. LÄS MER
2. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : This essay develops an option pricing formula where the market participantsare assumed to not follow a uniform approach with respect to uncertainty thatarises under extreme market events. By using a continuous Choquet randomwalk for modeling asset dynamics, as well as including marginal utility, an optionprice kernel is obtained- this is opposed to the unique price that arises inthe standard MMBS framework. LÄS MER
3. Estimation of the local Hurst function of multifractional Brownian motion : A second difference increment ratio estimator
Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : In this thesis, a specific type of stochastic processes displaying time-dependent regularity is studied. Specifically, multifractional Brownian motion processes are examined. Due to their properties, these processes have gained interest in various fields of research. LÄS MER
4. Backtesting av VaR för OMXS30 : Utvärdering av GARCH-modellers Value-at-Risk-prediktering
Kandidat-uppsats, NationalekonomiSammanfattning : .... LÄS MER
