Essays about: "finacial Mathematics"

Found 2 essays containing the words finacial Mathematics.

1. 1. Monitoring portfolio weights by means of the Shewhart method

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Jeela Mohammadian; [2010]
   Keywords : Mathematics; Finacial Mathematics; Shewhart method; Change-point detection; Monitoring; ARL.;

   Abstract : The distribution of asset returns may lead to structural breaks. Thesebreaks may result in changes of the optimal portfolio weights. For a port-folio investor, the ability of timely detection of any systematic changesin the optimal portfolio weights is of a great interest. READ MORE

3. 2. Operator Splitting Methods and Artificial Boundary Conditions for a nonlinear       Black-Scholes equation

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

   Author : Marek Uhliarik; [2010]
   Keywords : finacial Mathematics; nonlinear Black-Scholes equation; volatility models; splitting methods;

   Abstract : There are some nonlinear models for pricing financial derivatives which can improve the linear Black-Scholes model introduced by Black, Scholes and Merton. In these models volatility is not constant anymore, but depends on some extra variables. It can be, for example, transaction costs, a risk from a portfolio, preferences of a large trader, etc. READ MORE