Essays about: "derivative securities"

Showing result 1 - 5 of 11 essays containing the words derivative securities.

  1. 1. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

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

    Author : Victor Folajin; [2021]
    Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

  3. 2. 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

  4. 3. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  5. 4. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Basket options Randomized quasi-Monte Carlo Time-changed Lévy Process Meixner Distribution Fast Fourier Transform; Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  6. 5. Convertible Bonds: a Qualitative and Numerical Analysis

    University essay from KTH/Matematik (Inst.)

    Author : Bianca Dufour Partanen; Emelie Järnberg; [2014]
    Keywords : ;

    Abstract : A convertible bond is a nancial instrument which has both an equity part and a xed-income part. The pricing of nancial securities has for quite obvious reasons become extensively studied in the past decades. In this paper we study the Black-Scholes model, based on the equity value, where the equity is modelled by geometric brownian motion. READ MORE