Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"Finance--Mathematical models"”.
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Analytical Solutions of the SABR Stochastic Volatility Model
This thesis studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in …
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Modeling zero-inflated and overdispersed count data: application to in-hospital mortality data
… the use of several univariate and multivariate models to evaluate the effects of serum chloride as it pertains to patient mortality. This research resulted from application to more than 1700 critically ill patients from a local hospital.
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Quantitative Modeling of Credit Derivatives
… derivatives, calibration of dynamic credit models, and modeling of credit default swap portfolios. In the first part, we compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches during the recent financial crisis. Our empirical analysis …
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Optimal Trading Strategies Under Arbitrage
This thesis analyzes models of financial markets that incorporate the possibility of arbitrage opportunities. The first part demonstrates how explicit formulas for optimal trading strategies in terms of minimal required initial capital can be derived in order to replicate a given terminal wealth in …
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Inflation and economic growth: a dynamic analysis of deficit finance
<p>This paper attempts to answer two questions. First, is a policy of inflationary capital formation (ICF) capable of permanently raising the growth path of real output? When all the dynamic propagations of the initial impact of ICF spendings are accounted for and it is shown that the resulting …