Essays about: "jump"

Showing result 1 - 5 of 89 essays containing the word jump.

  1. 1. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Agermark; Visar Hoti; [2016-10-04]
    Keywords : forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

    Abstract : MSc in Finance.... READ MORE

  2. 2. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

    University essay from KTH/Matematisk statistik

    Author : Emelie Järnberg; [2016]
    Keywords : Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

    Abstract : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. READ MORE

  3. 3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Vogl; [2016]
    Keywords : GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Abstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE

  4. 4. Titanium vacancy diffusion in TiN via non-equilibrium ab initio molecular dynamics

    University essay from Linköpings universitet/Teoretisk Fysik

    Author : Davide Gambino; [2016]
    Keywords : Titanium nitride; Ti monovacancy migration; Non-equilibrium ab initio molecular dynamics; Color diffusion algorithm; Statistics for stochastic events;

    Abstract : Transition metal nitrides (TMNs) refractory ceramic materials are  widely employed as wear-resistant protective coatings in industrial machining as well as diffusion barriers inhibiting migration of metal impurities from the interconnects to the semiconducting region of electronic devices. TiN is the prototype of this class of materials and the most studied among TMNs. READ MORE

  5. 5. Development of New Easy to Open Cheese Packaging for Elderly in Sweden - A Design Thinking Approach

    University essay from Lunds universitet/Förpackningslogistik

    Author : Santika Karunika Chenderasa; [2016]
    Keywords : cheese packaging; food packaging development; packaging design; plastic packaging; design thinking; Technology and Engineering; Agriculture and Food Sciences;

    Abstract : Changing demographics in most of western society bring a range of new demands in the field of food and more specifically in food packaging. The need for convenience is one of the biggest drivers behind many innovations over the past decades. Current trends involve psychological convenience on environmental aspects, as well as ease of opening. READ MORE