Essays about: "Stochastic calculus"

Found 2 essays containing the words Stochastic calculus.

1. 1. Pricing in the Heston Model and Its Rough Variation

   University essay from KTH/Matematik (Avd.)

   Author : Otto Sellerstam; [2021]
   Keywords : ;

   Abstract : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. READ MORE

3. 2. Modern Credit Value Adjustment

   University essay from KTH/Matematik (Avd.)

   Author : Wojciech Ratusznik; [2021]
   Keywords : Credit Value Adjustment; Monte Carlo simulations; Artificial neural networks; Financial risk management; Stochastic calculus; Kreditvärdejustering; Monte Carlo simuleringar; Artificiella neurala nätverk; Riskvärdering; Stokastisk analys;

   Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE