Essays about: "Brownian motion"

Showing result 1 - 5 of 54 essays containing the words Brownian motion.

  1. 1. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Krister Janzon; [2018]
    Keywords : Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Abstract : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). READ MORE

  2. 2. Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS); KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Tobias Brodd; Adrian Djerf; [2018]
    Keywords : monte carlo; simulations; finance; modelling; geometric brownian motion; random walks; stock prices; probability theory; monte carlo; simuleringar; finans; modellering; geometric brownian motion; random walks; aktiekurser; sannolikhetsteori;

    Abstract : The financial market is a stochastic and complex system that is challenging to model. It is crucial for investors to be able to model the probability of possible outcomes of financial investments and financing decisions in order to produce fruitful and productive investments. READ MORE

  3. 3. Stock Price Predictions using a Geometric Brownian Motion

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Joel Lidén; [2018]
    Keywords : ;

    Abstract : .... READ MORE

  4. 4. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Zijie Feng; [2018]
    Keywords : geometric fractional Brownian motion; fractional Brownian motion; fractional Gaussian noise; Hurst exponent;

    Abstract : As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. READ MORE

  5. 5. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    University essay from Göteborgs universitet/Graduate School

    Author : Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Keywords : Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Abstract : MSc in Finance.... READ MORE