Essays about: "lognormal approximation"
Found 4 essays containing the words lognormal approximation.
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1. Economic Capital Models : Methods for fitting loss distributions
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : The thesis provides a well-researched classical approach to fit and predict the losses (extreme) for Lloyds Bank’s Dutch mortgage portfolio, their defaulted Dutch mortgage portfolio, and their German personal and car loan portfolio. This is a crucial piece for quantification of the economic loss, required for effective credit risk management by the Bank. READ MORE
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2. Approximation of General Semi-Markov Models Using Expolynomials
University essay from KTH/Matematisk statistikAbstract : Safety analysis is critical when developing new engineering systems. Many systems have to function under randomly occurring events, making stochastic processes useful in a safety modelling context. However, a general stochastic process is very challenging to analyse mathematically. READ MORE
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3. Combinatorial and price efficient optimization of the underlying assets in basket options
University essay from KTH/Optimeringslära och systemteoriAbstract : The purpose of this thesis is to develop an optimization model that chooses the optimal and price efficient combination of underlying assets for a equally weighted basket option. To obtain a price efficient combination of underlying assets a function that calculates the basket option price is needed, for further use in an optimization model. READ MORE
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4. Valuation of Asian Options-with Levy Approximation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Asian options are difficult to price analytically. Even though they have attracted much attention in recent years, there is still no closed-form solution available for pricing the arithmetic Asian options, because the distribution of the density function is unknown. READ MORE
