Essays about: "Financial mathematics"

Showing result 6 - 10 of 131 essays containing the words Financial mathematics.

1. 6. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

   University essay from KTH/Matematisk statistik

   Author : Robin Nordström; Sepand Tabari; [2021]
   Keywords : Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

   Abstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE

3. 7. Value at Risk Estimation with Generative Adversarial Networks

   University essay from Lunds universitet/Statistiska institutionen

   Author : David Tobjörk; [2021]
   Keywords : generative adversarial networks value at risk finance machine learning neural networks; Mathematics and Statistics;

   Abstract : Risk is of large importance for financial institutions and there are many different measures that can be used. A popular one is value at risk (VaR), which is the maximum likely loss for a portfolio of financial assets. Different methods of estimating it has been suggested, one often described is the variance-covariance method. READ MORE

4. 8. 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

5. 9. 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

6. 10. 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