Essays about: "brownsk rörelse"

Showing result 1 - 5 of 11 essays containing the words brownsk rörelse.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  3. 2. Comparison of Indirect Inference and the Two Stage Approach

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Victor Hernadi; Leandro Carocca Jeria; [2022]
    Keywords : Geometric Brownian Motion; Drift; Volatility; Indirect Inference; Two Stage Approach; Parameter Estimation; Stock Price Prediction;

    Abstract : Parametric models are used to understand dynamical systems and predict its future behavior. It is difficult to estimate the model’s parametric values since there are usually many parameters and they are highly correlated. READ MORE

  4. 3. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions

    University essay from KTH/Matematik (Avd.)

    Author : Adam Wuilmart; Erik Harrysson; [2022]
    Keywords : Earnout Contracts; Valuation; Mergers Acquisitions; Private Equity; Monte Carlo Simulation; Contingent Considerations; Tilläggsköpeskilling; Värdering; Bolagsförvärv; Black-Scholes; Monte Carlo Simulering; Optioner;

    Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE

  5. 4. Viability Evaluation of the Turtle Trading Rules on Major Market Indexes

    University essay from KTH/Matematik (Avd.)

    Author : Malkolm Larsson; Johan Lövgren; [2022]
    Keywords : The Turtle Trading Rules; Asset Management; Geometric Brownian Motion; Market Index; MSCI Index; Turtle Trading-reglerna; kapitalförvaltning; geometrisk brownsk rörelse; marknadsindex; MSCI-index;

    Abstract : The Turtle Trading Rules was a successful trend-following trading strategy for commodities in the 1980s but has lost recognition in recent days. The strategy revolved around rules for entering and exiting trades as well as position sizing for each trade. READ MORE

  6. 5. 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