Essays about: "Financial Mathematics"

Showing result 36 - 40 of 162 essays containing the words Financial Mathematics.

  1. 36. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

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

    Author : Victor Folajin; [2021]
    Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

  3. 37. Accuracy of Risk Measures For Black Swan Events

    University essay from KTH/Matematisk statistik

    Author : Viktor Barry; [2021]
    Keywords : Black swans; value at risk; conditional value at risk; monte carlo simulation; financial mathematics; risk analysis; financial risk; Black Swan; value at risk; conditional value at risk; monte carlo-simulering; finansiell matematik; riskanalys; finansiell risk;

    Abstract : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. READ MORE

  4. 38. Examining Inclusion of a Sustainability Criterion in Portfolio Optimization - Could an Investor Benefit from it?

    University essay from KTH/Matematik (Avd.)

    Author : Amin Klai; [2021]
    Keywords : Financial Mathematics; Portfolio Optimization; Sustainability; Finansiellmatematik; Portföljteori; Hållbarhet;

    Abstract : In today's society sustainability has become an important subject and has an impact on various sectors. Corporations include sustainability in their corporate strategy, which further affects the field of corporate finance. This has lead to a new insight among investors to include a sustainability criterion in their investment processes. READ MORE

  5. 39. Increasing Retention in Insurtechs Through Churn Prediction

    University essay from Lunds universitet/Innovationsteknik

    Author : John Rapp Farnes; Oskar Christiansen; [2021]
    Keywords : Non-life insurance; Property and casualty insurance; Customer retention; Churn prediction; Predictive analytics; Classification; Machine learning; Mathematics and Statistics;

    Abstract : Over the last decades, the Swedish insurance industry has seen decreased entry barriers due to deregulation and emerging new technologies, which have the potential to disturb the stagnated and consolidated competitive landscape of the industry. Initiated by newcomers like American insurance startup Lemonade, and later Swedish Hedvig among others, there is an increased push toward digitalization, transparency, and automation in the industry. READ MORE

  6. 40. Factor Models For The Term Structure Of STIBOR Rates

    University essay from Lunds universitet/Matematisk statistik

    Author : Jonatan Persson; [2021]
    Keywords : Interest rates; Time series; State space models; Mathematics and Statistics;

    Abstract : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. READ MORE