Essays about: "geometric Brownian motion and stock price"

Showing result 1 - 5 of 10 essays containing the words geometric Brownian motion and stock price.

1. 1. 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

3. 2. Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns

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

   Author : Tobias Brodd; Adrian Djerf; [2018]
   Keywords : monte carlo; simulations; finance; modelling; geometric brownian motion; random walks; stock prices; probability theory; monte carlo; simuleringar; finans; modellering; geometric brownian motion; random walks; aktiekurser; sannolikhetsteori;

   Abstract : The financial market is a stochastic and complex system that is challenging to model. It is crucial for investors to be able to model the probability of possible outcomes of financial investments and financing decisions in order to produce fruitful and productive investments. READ MORE

4. 3. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Zijie Feng; [2018]
   Keywords : geometric fractional Brownian motion; fractional Brownian motion; fractional Gaussian noise; Hurst exponent;

   Abstract : As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. READ MORE

5. 4. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

   University essay from Göteborgs universitet/Graduate School

   Author : Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
   Keywords : Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

   Abstract : The contingent convertible (CoCo) bond is a loss-absorbing instrument which can be converted mandatorily to common equity when a trigger event happens, such as the bookvalue trigger and the discretionary trigger. The book-value trigger means that once the capital ratio hits the pre-specified threshold, the equity conversion will be activated. READ MORE

6. 5. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

   University essay from KTH/Matematisk statistik

   Author : Simon Carmelid; [2017]
   Keywords : ;

   Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE