Essays about: "Jump Diffusion Process"

Showing result 1 - 5 of 9 essays containing the words Jump Diffusion Process.

  1. 1. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    University essay from KTH/Matematisk statistik

    Author : Sam Johansson; [2019]
    Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE

  2. 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

  3. 3. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    University essay from Göteborgs universitet/Graduate School

    Author : Giulia Cesaroni; [2017-07-25]
    Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Abstract : MSc in Finance.... READ MORE

  4. 4. 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

  5. 5. 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