Essays about: "Pontus Söderbäck"

Found 1 essay containing the words Pontus Söderbäck.

  1. 1. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska fakulteten

    Author : Gustav Sällberg; Pontus Söderbäck; [2015]
    Keywords : local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation;

    Abstract : The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing is based on utility based pricing, and developed to be set in arisk neutral pricing setting. READ MORE