Essays about: "Jump Diffusion Process"

Showing result 6 - 10 of 11 essays containing the words Jump Diffusion Process.

  1. 6. 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. 7. 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

  4. 8. Pricing Timer Options under Jump-Diffusion Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Janis Müller; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. READ MORE

  5. 9. Pricing Contingent Convertibles using an EquityDerivatives Jump Diusion Approach

    University essay from KTH/Matematisk statistik

    Author : Henrik Teneberg; [2012]
    Keywords : Contingent Convertible; CoCo; jump-diusion; pricing; adaptive mesh model;

    Abstract : This paper familiarizes the reader with contingent convertibles and their role in the current financial landscape. A contingent convertible is a security behaving like a bond in normal times, but that converts into equity or is written down in times of turbulence. READ MORE

  6. 10. Convergence of day-ahead and future prices in the context of European power market coupling: Historical analysis of spot and future electricity prices in Germany, France, Netherlands and Belgium

    University essay from KTH/Elektriska energisystem

    Author : Ludovic Autran; [2012]
    Keywords : ;

    Abstract : Since November 2010, the French, Belgian, German and Dutch electricity markets are sharing a common mechanism for Day Ahead price formation called “Market Coupling”. This implicit auctioning system for cross border flows management is part of a regional market integration policy which constitutes an intermediary step toward fully integrated European markets. READ MORE