Essays about: "Jump-diffusion"
Showing result 1 - 5 of 27 essays containing the word Jump-diffusion.
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1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE
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2. Artificial Intelligence for Option Pricing
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE
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3. Monte-Carlo Based Pricing of American Options Using Known Characteristics of the Expected Continuation Value Function
University essay from Lunds universitet/Matematisk statistikAbstract : The problem of pricing American stock options is far more complex than pricing European options due to the possibility of early execution. This feature means that the decision to either hold on to the option or exercising it early must be continually evaluated, leading to closed form solutions such as the Black-Scholes Formula to not be applicable on American options written on dividend paying assets. READ MORE
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4. Deep learning for portfolio optimization
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. READ MORE
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5. Detecting anomalies in data streams driven by ajump-diffusion process
University essay from Umeå universitet/Institutionen för fysikAbstract : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. READ MORE