Essays about: "Emelie Järnberg"

Found 2 essays containing the words Emelie Järnberg.

1. 1. 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. 2. Convertible Bonds: a Qualitative and Numerical Analysis

   University essay from KTH/Matematik (Inst.)

   Author : Bianca Dufour Partanen; Emelie Järnberg; [2014]
   Keywords : ;

   Abstract : A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. READ MORE