Essays about: "derivative pricing"

Showing result 16 - 20 of 48 essays containing the words derivative pricing.

  1. 16. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Hallabro; [2019]
    Keywords : Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

    Abstract : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. READ MORE

  3. 17. The Swap Market Model with Local Stochastic Volatility

    University essay from KTH/Matematisk statistik

    Author : Mohammed Benmakhlouf Andaloussi; [2019]
    Keywords : ;

    Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE

  4. 18. Estimation of early termination of financial derivatives

    University essay from KTH/Matematisk statistik

    Author : Marcus Pousette; Jim Domeij; [2019]
    Keywords : Survival analysis; Neural network; Applied mathematics; Överlevnadsanalys; Neurala nätverk; tillämpad matematik;

    Abstract : In terms of pricing financial derivatives, contractual length plays a important role in pricing risk. A contract with long duration will have more associated risk in comparison with a contract with low duration, everything else equal. READ MORE

  5. 19. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Krister Janzon; [2018]
    Keywords : Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Abstract : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). READ MORE

  6. 20. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

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

    Author : Nathaniel Ahy; Mikael Sierra; [2018]
    Keywords : Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Abstract : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. READ MORE