Sökning: "Wojciech Reducha"

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  1. 1. Parameter Estimation of the Pareto-Beta Jump-Diffusion Model in Times of Catastrophe Crisis

    Magister-uppsats, Tillämpad matematik och fysik (CAMP)

    Författare :Wojciech Reducha; [2011]
    Nyckelord :Financial Mathematics; Calibration; Parameter Estimation; MLE; Likelihood; BOBYQA; Jump-diffusion; Pareto-Beta;

    Sammanfattning : Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. LÄS MER