Essays about: "Jump Diffusion Process"

Showing result 1 - 5 of 11 essays containing the words Jump Diffusion Process.

1. 1. Deep learning for portfolio optimization

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : JOHN N. MBITI; [2021]
   Keywords : Portfolio optimization; optimal portfolio; jump diffusion; Itô-Lévy process; stochastic control; dynamic programming; HJB equation; utility optimization; stochastic gradient descent; Deep learning; neural network.;

   Abstract : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. READ MORE

3. 2. Detecting anomalies in data streams driven by ajump-diffusion process

   University essay from Umeå universitet/Institutionen för fysik

   Author : Carl Paulin; [2021]
   Keywords : machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

   Abstract : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. READ MORE

4. 3. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

   University essay from KTH/Matematisk statistik

   Author : Sam Johansson; [2019]
   Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

   Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE

5. 4. Merton Jump-Diffusion Modeling of Stock Price Data

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Furui Tang; [2018]
   Keywords : Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

   Abstract : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. READ MORE

6. 5. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

   University essay from Göteborgs universitet/Graduate School

   Author : Giulia Cesaroni; [2017-07-25]
   Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

   Abstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE