Sökning: "hyperbolic distributions"

Hittade 5 uppsatser innehållade orden hyperbolic distributions.

  1. 1. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Fredrik Gerdin Börjesson; [2021]
    Nyckelord :Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Sammanfattning : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. LÄS MER

  3. 2. Always Look on the Positive-Definite Side of Life

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Mattias Byléhn; [2020-11-24]
    Nyckelord :Poisson summation; positive-definite distributions; Abel transform; Guinand’s distribution; relatively positive-definite distributions; Krein’s theorem; Krein measures;

    Sammanfattning : This thesis concerns distributions on Rn with the property of being positive-definite relative to a finite subgroup of the orthogonal group O(n). We construct examples of such distributions as the inverse Abel transform of Dirac combs on the geometries of Euclidean space Rn and the real- and complex hyperbolic plane H2, H2 C. LÄS MER

  4. 3. Implementation and verification of the Information Bottleneck interpretation of deep neural networks

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Feiyang Liu; [2018]
    Nyckelord :The Information bottleneck method; Mutual information; Deep neural networks; Binning; nformations askhack IB -metoden; ömsesidig information; djupa neuronnät; binning;

    Sammanfattning : Although deep neural networks (DNNs) have made remarkable achievementsin various elds, there is still not a matching practical theory that is able toexplain DNNs' performances. Tishby (2015) proposed a new insight to analyzeDNN via the Information bottleneck (IB) method. LÄS MER

  5. 4. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30

    Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Författare :Cristoffer Vallenå; Henrik Askvik; [2014]
    Nyckelord :Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

    Sammanfattning : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. LÄS MER

  7. 5. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Brunlid; [2007]
    Nyckelord :credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. LÄS MER