نویسنده: امین کاظمی

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 […]

Zhang, Changyong. Numerical weak approximation of stochastic differential equations driven by Levy processes. Degree: PhD, Applied Mathematics, 2010, University of Southern California برای دانلود این پایان نامه اینجا کلیک کنید. ▼ Levy processes are the simplest generic class of processes having a.s. continuous paths interspersed with jumps of arbitrary sizes occurring at random times, which makes them useful tools in a […]

Jum, Ernest. Numerical Approximation of Stochastic Differential Equations Driven by Levy Motion with Infinitely Many Jumps. Degree: 2015, University of Tennessee – Knoxville برای دانلود این پایان نامه اینجا کلیک نمایید. ▼ In this dissertation, we consider the problem of simulation of stochastic differential equations driven by pure jump Levyprocesses with infinite jump activity. Examples include, the class of stochastic differential equations […]

Sushko, Stepan. Pricing of European type options for Levy and conditionally Levy type models. Degree: 2008, Högskolan i Halmstad برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a […]

Nohrouzian, Hossein. Lattice Approximations for Black-Scholes type models in Option Pricing. Degree: 2013, Mälarden University برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. Furthermore, the […]

Belova, Anna. Meshfree methods in option pricing. Degree: 2011, Högskolan i Halmstad برای دانلود این پایان نامه اینجا کلیک نمایید. ▼  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 […]