Essays about: "CEV model"

Showing result 1 - 5 of 6 essays containing the words CEV model.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  3. 2. Developing a Business Model for Commercial Electric Vehicle Charging Infrastructure

    University essay from Lunds universitet/Internationella miljöinstitutet

    Author : Sean Martin; [2016]
    Keywords : vehicle electrification; urban goods distribution; zero-emission fleet; commercial electric vehicle; electro-mobility services; green logistics; Earth and Environmental Sciences;

    Abstract : The adoption of commercial electric vehicles (CEVs) is beginning to pick up traction by fleet operators and vehicle manufacturers. Carbon emission legislation, fuel prices and improving battery technology are ever-increasing the attractiveness of the business case for electric vehicles. READ MORE

  4. 3. Price sensitivity to the exponent in the CEV model

    University essay from Analys och tillämpad matematik

    Author : Ning Wang; [2012]
    Keywords : ;

    Abstract : .... READ MORE

  5. 4. CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Giversen; Mohamed Bendkia; [2011]
    Keywords : Geometric Brownian Motion; GBM; Constant Elasticity of Variance; CEV; Continuous Time Processes; Financial Markets; Financial Crisis; Business and Economics;

    Abstract : This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. READ MORE

  6. 5. Dynamic hedging of swaptions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emil Lauri; Alexander Milles; [2009]
    Keywords : Hedging; swaption; Black model; CEV model;

    Abstract : This thesis shows that strictly following the Black model exposes the user to unexpected risk when hedging swaptions. The results emphasize that the strike offset and time to expiry have explanatory power for the hedging performance of the Black model. READ MORE