Essays about: "Financial Mathematics"

Showing result 21 - 25 of 162 essays containing the words Financial Mathematics.

  1. 21. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Villwock; Clara Rydholm; [2022]
    Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

  3. 22. Modelling of Capital Requirements using LSTM and A-SA in CRR 3

    University essay from KTH/Matematik (Avd.)

    Author : William Gan; [2022]
    Keywords : Capital Requirements; machine learning; neural networks; financial mathematics; risk management; CRR 3; FRTB; Kapitalkrav; maskininlärning; neurala nätverk; finansiell matematik; riskhantering; CRR 3; FRTB;

    Abstract : In response to the Great Financial Crisis of 2008, a handful of measures were taken to increase the resilience toward a similar disaster in the future. Global financial regulatory entities implemented several new directives with the intention to enhance global capital markets, leading to regulatory frameworks where financial participants (FPs) are regulated with own fund's requirements for market risks. READ MORE

  4. 23. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes

    University essay from Lunds universitet/Statistiska institutionen

    Author : Felix Viitanen; Erik Lundgren; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. READ MORE

  5. 24. Spatial Statistical Modelling of Insurance Claim Frequency

    University essay from Lunds universitet/Matematisk statistik

    Author : Daniel Faller; [2022]
    Keywords : Insurance risk; claim frequency; Markov chain Monte Carlo MCMC ; Riemann manifold Metropolis adjusted Langevin algorithm MMALA ; spatial statistics; Gaussian Markov random field GMRF ; preconditioned Crank Nicolson Langevin algorithm pCNL ; Gibbs sampling; Bayesian hierarchical modelling; high dimensional; shrinkage prior; horseshoe prior; regularisation.; Mathematics and Statistics;

    Abstract : In this thesis a fully Bayesian hierarchical model that estimates the number of aggregated insurance claims per year for non-life insurances is constructed using Markov chain Monte Carlo based inference with Riemannian Langevin diffusion. Some versions of the model incorporate a spatial effect, viewed as the relative spatial insurance risk that originates from a policyholder's geographical location and where the relative spatial insurance risk is modelled as a continuous spatial field. READ MORE

  6. 25. Predicting Success in Early-Stage Start-ups using Founding and Executive Team Characteristics

    University essay from KTH/Matematisk statistik

    Author : Ludvig Wärnberg Gerdin; [2022]
    Keywords : statistics; applied mathematics; machine learning; venture capital; Statistik; tillämpad matematik; maskininlärning; riskkapital;

    Abstract : Data-driven methods have been used for investment decision support for more than two decades within the finance sector, however there are great differences in the adoption of data-driven methods in different parts of the financial market. One part of the market that has yet achieved a high level of adoption is the Venture capital (VC) industry. READ MORE