ماه: دسامبر 2015

White Noise Methods for Anticipating Stochastic Differential Equations Doctor of Philosophy (Ph.D.) Keywords :White Noise,Anticipating,Stochastic Differential Equations برای دانلود این پایان نامه اینجا کلیک کنید. AbstractThis dissertation focuses on linear stochastic differential equations of anticipating type. Owing to the lack of a theory of differentiation for random processes, the said differential equations are appropriately understood and studied as anticipating stochastic […]

Analysis and finite element approximations of stochastic optimal control problems constrained by stochastic elliptic partial differential equations Jangwoon Lee, Iowa State University برای دانلود این پایان نامه اینجا کلیک نمایید. Abstract In this thesis we study mathematically and computationally optimal control problems for stochastic elliptic partial differential equations. The control objective is to minimize the expectation of a tracking cost […]

Serrano Perdomo, Rafael Antonio (2010) Optimal control of stochastic partial differential equations in Banach spaces. PhD thesis, University of York برای دانلود  این پایان نامه اینجا کلیک نمایید. Abstract In this thesis we study optimal control problems in Banach spaces for stochastic partial differential equations. We investigate two different approaches. In the first part we study Hamilton-Jacobi-Bellman equations (HJB) in […]

Modeling Credit Risk through Intensity Models Padres Jorda, Guillermo Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics. 2010 (English) Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE credits Student thesis Place, publisher, year, edition, pages 2010. , 40 p. Series U.U.D.M. project report, 2010:6 National Category Mathematics […]

Title: Topics in financial market risk modelling Authors: Ma, Zishun Keywords: Value at Risk Volatility modeling Risk mapping Monte Carlo Simulation Quantile regression Issue Date: 2012 Publisher: Newcastle University برای دانلود این پایان نامه اینجا کلیک نمایید. Abstract: The growth of the financial risk management industry has been motivated by the increased volatility of financial markets combined with the rapid […]

Ely, William. Pricing European stock options using stochastic and fuzzy continuous time processes. Degree: 2012, University of North Carolina – Greensboro  برای دانلود پایان نامه اینجا کلیک نمایید. ▼ Over the past 40 years, much of mathematical finance has been built on the premise that stocks tend to move according to continuous-time stochastic processes, particularly geometric Brownian Motion. However, fuzzy set theory […]

Cane, Matthew (Author). Pricing spread options under Levy jump-diffusion models. Degree: 2011, Ryerson University برای دانلود این پایان نامه اینجا کلیک نمایید. ▼ This thesis examines the problem of pricing spread options under market models with jumps driven by a Compound Poisson Process and stochastic volatility in the form of a CIR process. Extending the work of Dempster and Hong, and […]

Degree: PhD, Mathematics, 2010, Rutgers University برای دانلود این پایان نامه اینجا کلیک نمایید. ▼ We show that the marginal distribution of a semimartingale can be matched by a Markov process. This is an extension of Gyngy’s theorem to discontinuous semimartingale. Advisors/Committee Members: Wang, Jin (author), Feehan, Paul (chair), OCONE, DAN (internal member), Gundy, Richard(internal member), DASKALOPOULOS, PANAGIOTA (outside member). Subjects/Keywords: […]

Hahn, Tobias. Option Pricing Using Artificial Neural Networks : an Australian Perspective. Degree: 2013, Bond University برای دانلود این پایان نامه اینجا کلیک  نمایید. ▼ The thesis addresses the question of how option pricing can be improved using machine learning techniques. The focus is on the modelling of volatility, the central determinant of an option price, using artificial neural networks. This […]