Essays about: "differential equations in financial mathematics"
Found 5 essays containing the words differential equations in financial mathematics.
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1. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE
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2. Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing
University essay from Blekinge Tekniska Högskola/Sektionen för ingenjörsvetenskapAbstract : This thesis provides an analytical and two numerical methods for solving a parabolic equation of two-dimensional mean curvature flow with some applications. In analytical method, this equation is solved by Lie group analysis method, and in numerical method, two algorithms are implemented in MATLAB for solving this equation. READ MORE
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3. Stable Numerical Methods for PDE Models of Asian Options
University essay from Tillämpad matematik och fysik (MPE-lab)Abstract : Asian options are exotic financial derivative products which price must be calculated by numerical evaluation. In this thesis, we study certain ways of solving partial differential equations, which are associated with these derivatives. READ MORE
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4. Exponential Fitting, Finite Volume and Box Methods in Option Pricing.
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)Abstract : In this thesis we focus mainly on special finite differences and finite volume methods and apply them to the pricing of barrier options.The structure of this work is the following: in Chapter 1 we introduce the definitions of options and illustrate some properties of vanilla European options and exotic options. READ MORE
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5. Hedging Strategies of an European Claim Written on a Nontraded Asset
University essay from Högskolan i HalmstadAbstract : An article of Zariphopoulou and Musiela "An example of indifference prices under exponential preferences", was background of our work. ... READ MORE