Essays about: "mpe"

Showing result 21 - 25 of 38 essays containing the word mpe.

1. 21. Liquidity and optimal consumption with random income

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

   Author : Dmitry Zhelezov; Ivan Yamshchikov; [2011]
   Keywords : Financial Mathematics; HJB equation; liquidity; optimal consumption; random income;

   Abstract : In the first part of our work we focus on the model of the optimal consumption with a random income. We provide the three dimensional equation for this model, demonstrate the reduction to the two dimensional case and provide for two different utility functions the full point-symmetries' analysis of the equations. READ MORE

3. 22. Pricing and Hedging of Defaultable Models

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

   Author : Magdalena Antczak; Marta Leniec; [2011]
   Keywords : Financial Mathematics; Option; Brownian Motion; Enlargement of Filtrations; Default;

   Abstract : Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. READ MORE

4. 23. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

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

   Author : Maria Sjöstrand; Özlem Aktaş; [2011]
   Keywords : Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution;

   Abstract : One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. READ MORE

5. 24. Meshfree methods in option pricing

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

   Author : Anna Belova; Tamara Shmidt; [2011]
   Keywords : Financial Mathematics; option pricing; RBF; PDE; meshfree methods;

   Abstract : A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. READ MORE

6. 25. Provisions estimation for portfolio of CDO in Gaussian financial environment

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

   Author : Oleg Maximchuk; Yury Volkov; [2011]
   Keywords : Financial Mathematics; CDO; provision; static model; dynamic model; information; hedging;

   Abstract : The problem of managing the portfolio provisions is of very high importance for any financial institution. In this paper we provide both static and dynamic models of provisions estimation for the case when the decision about provisions is made at the first moment of time subject to the absence of information and for the case of complete and incomplete information. READ MORE