Essays about: "Poisson process"
Showing result 21 - 25 of 35 essays containing the words Poisson process.
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21. Modeling market activity using 1D non-homogeneous Hawkes Processes
University essay from Lunds universitet/Matematisk statistikAbstract : This paper can be seen as a light introduction to the study of Hawkes pro- cesses and their applicability in the realms of finance. In particular, this paper is concerned on the topic of modeling market activity and elaborates on how Hawkes processes are superior to non-homogeneous Poisson processes in this re- gard. READ MORE
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22. Snytbagge på brända och obrända kalhyggen
University essay from SLU/Dept. of Forest Ecology and ManagementAbstract : I dagens skogsbruk har större skogsägare en typ av certifiering som kallas för FSC (Forest Stewardship Council). Denna standardkvalificering ger olika krav på miljö, skogsbruk och socialstandard som skogsägaren måste uppfylla för att certifieringen skall gälla. READ MORE
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23. Modelling Large Claims in Property and Home Insurance - Extreme Value Analysis
University essay from Lunds universitet/Matematisk statistikAbstract : It is of paramount interest for insurance companies to have an estimate of the probability of being exposed to extremely large claims that could render them directly insolvent or decrease the size of their regulatory capital to the point of non-viability. The difficulty with finding such an estimate is that extreme events are by definition rare and therefore difficult to model. READ MORE
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24. Modelling insurance claims with spatial point processes : An applied case-control study to improve the use of geographical information in insurance pricing
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : An important prerequisite for running a successful insurance business is to predict risk. By forecasting the future in as much detail as possible, competitive advantages are created in terms of price differentiation. READ MORE
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25. Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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