Essays about: "Jump estimation"

Showing result 1 - 5 of 14 essays containing the words Jump estimation.

  1. 1. Fragile Foal Syndrome (FFS) inverkan på hoppförmåga och exteriör hos svenska varmblod (SWB) : varför hoppar hästar med samma mutation på olika sätt?

    University essay from SLU/Dept. of Animal Breeding and Genetics

    Author : Kajsa Nyström; [2023]
    Keywords : Ehler-Danlos Syndrom; exteriör; Fragile Foal Syndrome FFS ; genetik; hoppförmåga; svenska varmblod SWB ;

    Abstract : Fragile Foal Syndrome (FFS) är en genetisk sjukdom som drabbar hästar. Sjukdomen karaktäriseras av svag och ömtålig bindväv. Detta bidrar till att individer homozygota för anlaget aborteras eller avlivas direkt efter fölning. Syndromet beror på en mutation som påverkar i kollagenproduktion, vilken nedärvs autosomalt recessivt. READ MORE

  3. 2. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

    University essay from Lunds universitet/Matematisk statistik

    Author : Henning Tansjö; [2020]
    Keywords : Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

    Abstract : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. READ MORE

  4. 3. Break Point Detection for Strategic Asset Allocation

    University essay from KTH/Matematisk statistik

    Author : Erika Madebrink; [2019]
    Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

    Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE

  5. 4. 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

  6. 5. 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