Essays about: "Compound Poisson Process"

Showing result 1 - 5 of 6 essays containing the words Compound Poisson Process.

1. 1. Portfolio Optimization with Catastrophe Bonds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Tianfang Zhang; [2019]
   Keywords : Catastrophe bonds; Poisson processes; Portfolio theory; Value-at-risk; Conditional value-at-risk;

   Abstract : This thesis investigates properties of the returns of catastrophe bonds and their risk diversification potential in portfolios. Ideas from existing literature, such as modeling the evolution of the outstanding principal as a compound Poisson process, are extended to take into account the times of occurrence of the loss events, which are important for the returns of catastrophe bonds with certain types of payment structure. READ MORE

3. 2. Merton Jump-Diffusion Modeling of Stock Price Data

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Furui Tang; [2018]
   Keywords : Black-Scholes Model; Poisson Process; Compound Poisson Process; Merton Jump-Diffusion Model;

   Abstract : In this thesis, we investigate two stock price models, the Black-Scholes (BS) model and the Merton Jump-Diffusion (MJD) model. Comparing the logarithmic return of the BS model and the MJD model with empirical stock price data, we conclude that the Merton Jump-Diffusion Model is substantially more suitable for the stock market. READ MORE

4. 3. Forming an Inventory Control Policy in a Stochastic Environment: A Case Study at Sandvik Crushing and Screening

   University essay from Lunds universitet/Produktionsekonomi

   Author : Anders Mattisson; David Alsmarker; [2018]
   Keywords : Inventory Control; Stochastic Lead Time; Stochastic Demand; Input Analysis; Optimization; Technology and Engineering;

   Abstract : Background: For most companies that handle large material flows there are buffers between different stages in the supply chain, often referred to as inventory. The main reasons for having these inventories are to achieve economies of scale when handling material flows and to buffer against uncertainties when matching demand and supply. READ MORE

5. 4. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Max Andersson; [2015]
   Keywords : Fast Fourier transform; Spread options; Derivatives pricing; Stochastic volatility; Jump diffusion; Business and Economics; Mathematics and Statistics;

   Abstract : Spread options have become very popular in basically every sector of the financial markets, although the pricing of these derivatives still remains a challenge. In this thesis we examine the pricing of spread options using the fast Fourier transform (FFT). READ MORE

6. 5. Asymptotic expansion of the expected discounted penalty function in a two-scalestochastic volatility risk model.

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Mahamadi Ouoba; [2014]
   Keywords : risk model; asymptotic expansion; stochastic volatility; singular and regular perturbation theory;

   Abstract : In this Master thesis, we use a singular and regular perturbation theory to derive an analytic approximation formula for the expected discounted penalty function. Our model is an extension of Cramer–Lundberg extended classical model because we consider a more general insurance risk model in which the compound Poisson risk process is perturbed by a Brownian motion multiplied by a stochastic volatility driven by two factors- which have mean reversion models. READ MORE