Sökning: "fractional Brownian motion"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden fractional Brownian motion.
1. Investigation of portfolio strategies by means of simulation
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. LÄS MER
2. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER
3. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. LÄS MER
4. Pricing in the Heston Model and Its Rough Variation
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. LÄS MER
5. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
Kandidat-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)Sammanfattning : As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. LÄS MER