Essays about: "stochastic process"

Showing result 16 - 20 of 175 essays containing the words stochastic process.

  1. 16. HR options and their valuation – a case study

    University essay from KTH/Fastighetsekonomi och finans

    Author : Stefanos Nalmpantis; [2022]
    Keywords : Human Resources Options; Human Capital; Real Option Valuation; Personaloptioner; Humankapital; Real Optionsvärdering;

    Abstract : This thesis introduces and discusses the notion that real options theory can be applied to investment decisions when the value lies in human capital. This approach contributes in circumventing traditional problems which arise during valuation of intangible assets. READ MORE

  3. 17. 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

  4. 18. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

    University essay from KTH/Matematik (Avd.)

    Author : Nils Henningsson; [2022]
    Keywords : Copula; latent model; variational inference; Copula; latent modell; variational inference;

    Abstract : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. READ MORE

  5. 19. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes

    University essay from Lunds universitet/Statistiska institutionen

    Author : Felix Viitanen; Erik Lundgren; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. READ MORE

  6. 20. Models for solid waste and its management in Stockholm metropolitan area

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Lars Arvidsson; Kasper Nordenram; [2022]
    Keywords : ;

    Abstract : In the transition from a linear economy to a sustainable circular economy, waste management is critical. This thesis approaches the management of Municipal Solid Waste (MSW) from the perspective of a mathematical modelling. Within the scope of the thesis, three mathematical models were developed. READ MORE