Essays about: "mpe"

Showing result 16 - 20 of 38 essays containing the word mpe.

  1. 16. Finite Volume Methods for Option Pricing

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Mikhail Demin; [2011]
    Keywords : Financial Mathematics; finite volume method; option pricing;

    Abstract : .... READ MORE

  3. 17. Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Cihan AL; Kubra Koroglu; [2011]
    Keywords : change point detection; optimal stopping time; shiryaev; shewhart; ewma; cusum; statistical process control; SPC; Financial Mathematics; changepoint detection; optimalstopping time; Shiryaev metod; Cusum metod; Ewma metod;

    Abstract : .... READ MORE

  4. 18. Monitoring Exchange Rates by Statistical Process Control

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Byeonggeon Ko; Yang Gao; [2011]
    Keywords : Financial Mathematics; exchange rates; statistical process control;

    Abstract : The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. READ MORE

  5. 19. Pricing of exotic options under the Kou model by using the Laplace transform

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Gayk Dzharayan; Elena Voronova; [2011]
    Keywords : Financial Mathematics; Double exponential jump-diusion model; Kou model; Laplace transform; Laplace transform inversion; two-dimensional Euler algorithm; two-asset correlation options.;

    Abstract : In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. READ MORE

  6. 20. The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Yang Zhao; Min Zhang; [2011]
    Keywords : Financial Mathematics; Ising model; portfolio; default contagion;

    Abstract : In this paper we introduce a model of default contagion in the financail market. The structure of the companies are represented by a Heavy Gravity Portfolio, where we assume there are N sectors in the market and in each sector i, there is one big trader and ni supply companies. READ MORE