Essays about: "log-normal"

Showing result 1 - 5 of 18 essays containing the word log-normal.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  3. 2. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Linus Sigurdson; Fritiof Carling; [2020]
    Keywords : Banks; RNPD; Merton model; Credit spreads; Risk;

    Abstract : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. READ MORE

  4. 3. Pricing of a balance sheet option limited by a minimum solvency boundary

    University essay from KTH/Matematisk statistik

    Author : Josefine Bofeldt; Sara Joon; [2019]
    Keywords : ;

    Abstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE

  5. 4. Pricing Interest Rate Derivatives in a Negative Yield Environment

    University essay from Göteborgs universitet/Graduate School

    Author : Lavinia Rognone; [2017-07-26]
    Keywords : Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Abstract : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. READ MORE

  6. 5. Outdoor to Indoor Coverage in 5G Networks

    University essay from Uppsala universitet/Signaler och System

    Author : Vilhelm Rydén; [2016]
    Keywords : 5g; indoor coverage; wireless propagation;

    Abstract : Outdoor to indoor mobile coverage is evaluated for differentfrequencies in two scenarios, a single building scenario and a cityenvironment. A new model for outdoor to indoor propagation issuggested, connecting existing, highly detailed indoor and outdoorray-tracing propagation models. READ MORE