Essays about: "stokastisk process"

Showing result 1 - 5 of 35 essays containing the words stokastisk process.

  1. 1. A Framework to Model Bond Liquidity

    University essay from KTH/Matematik (Avd.)

    Author : Alan Issa; [2023]
    Keywords : Bonds; liquidity; order book; stochastic process; stationarity; gamma distribution.; Obligationer; likviditet; orderbok; stokastisk process; stationaritet; gamma distribution.;

    Abstract : The liquidity of financial assets can be studied in various different ways. In this thesis, liquidity is defined as the cost and time required to liquidate a position. READ MORE

  3. 2. Optimal Capital Structures under the Vasicek Stochastic Interest Rate Model

    University essay from KTH/Matematik (Avd.)

    Author : Oscar Danielson; Tom Hagéus; [2023]
    Keywords : Vasicek model; stochastic interest rate model; optimal capital structures; tax benefits; bankruptcy costs; transaction costs; optimal leverage ratio; optimal debt maturity; Vasicekmodell; stokastisk räntemodell; optimala kapitalstrukturer; skattefördelar; konkurskostnader; transaktionskostnader; optimal belåningsgrad; optimal löptid;

    Abstract : This study applies the Vasicek stochastic interest rate model in order to determine optimal capital structures for listed firms. A Swedish interest rate data set is used to estimate Vasicek model parameter that are reliable and independent of initial start values. READ MORE

  4. 3. Reliability Based Classification of Transitions in Complex Semi-Markov Models

    University essay from KTH/Matematisk statistik

    Author : Francesco Fenoaltea; [2022]
    Keywords : Semi-Markov process; reliability engineering; stochastic process; autonomous vehicles; semi-markovprocessen; tillförlitlighetsteknik; stokastisk process; autonoma fordon;

    Abstract : Markov processes have a long history of being used to model safety critical systems. However, with the development of autonomous vehicles and their increased complexity, Markov processes have been shown to not be sufficiently precise for reliability calculations. READ MORE

  5. 4. 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

  6. 5. 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