Essays about: "Lévy processes"

Showing result 1 - 5 of 9 essays containing the words Lévy processes.

  1. 1. Knowledge Retention in Practice : How organizations avoid knowledge loss through proactive and reactive knowledge retention processes

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Alma Ahlrik; Hertha Kamras; [2023]
    Keywords : Knowledge management; knowledge retention; knowledge loss; tacit knowledge; explicit knowledge; organizational memory; knowledge spiral model; knowledge retention framework;

    Abstract : This thesis's purpose was to gain a deeper understanding of how organizations create knowledge retention (KR), both proactively (day-to-day basis) and reactively (when an employee decides to resign), to avoid knowledge loss. A qualitative multiple case study was conducted through semi-structured interviews, with eight respondents from eight different organizations. READ MORE

  3. 2. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Eduardo Alberto Alcantara Martinez; [2023]
    Keywords : Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

    Abstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE

  4. 3. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Fredrik Gerdin Börjesson; [2021]
    Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE

  5. 4. Option Pricing on Levy Based Markets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Rafael Velasquez; [2020]
    Keywords : ;

    Abstract :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE

  6. 5. Pricing American Options using Lévy Processes and Monte Carlo Simulations

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Jonas Bergström; [2015]
    Keywords : ;

    Abstract : .... READ MORE