Essays about: "jump-diffusion model"
Showing result 1 - 5 of 23 essays containing the words jump-diffusion model.
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1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE
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2. Artificial Intelligence for Option Pricing
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE
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3. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE
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4. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
University essay from Lunds universitet/Matematisk statistikAbstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE
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5. Detecting anomalies in data streams driven by ajump-diffusion process
University essay from Umeå universitet/Institutionen för fysikAbstract : 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