Essays about: "ornstein uhlenbeck"
Showing result 1 - 5 of 13 essays containing the words ornstein uhlenbeck.
-
1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE
-
2. Approximating Quasistationary Distributions Using Deep Learning
University essay from KTH/Matematisk statistikAbstract : We study a class of It\={o} diffusion processes on domains with smooth boundary, at which the process is killed. Such a process, when conditioned on non-extinction, gives rise to a stationary state known as a \emph{quasistationary distribution} (QSD). READ MORE
-
3. Modeling the Relation Between Implied and Realized Volatility
University essay from KTH/Matematisk statistikAbstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE
-
4. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model
University essay from KTH/Matematisk statistikAbstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE
-
5. FX Trading Using Gaussian Processes
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Machine learning and its application within finance have gained popularity the last decade. The traditional trading roles are changing rapidly and are being increasingly automated with algorithmic trading strategies, by proprietary trading firms, market makers, and other financial institutions. READ MORE