Essays about: "Simon Edvinsson"
Found 3 essays containing the words Simon Edvinsson.
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1. The Schmeidler expected utility model : Theory, implications, and an application to European call options
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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. READ MORE
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2. Pricing of European Options with Subjective Probability : Ambiguity aversion in the options market during the European sovereign debt crisis
University essay from Umeå universitet/NationalekonomiAbstract : 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. READ MORE
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3. Estimation of the local Hurst function of multifractional Brownian motion : A second difference increment ratio estimator
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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. READ MORE
