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 18 of 18 for “"Jump-diffusion model"”.
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The dual jump diffusion model for security prices
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1993.
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Modelling energy markets and pricing energy derivatives
… assessment of the popular methodologies for modelling the underlying spot price dynamics in energy markets. After a brief introduction in the alternative forms of derivation that may be used for speculative and risk management purposes in energy markets, we assess the performance of the …
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Sensitivities in Option Pricing Models
… the difference between the solution of the model and the market observations. Efficient gradient based optimization requires accurate gradient estimation of the cost function. In this thesis we highlight the adjoint method for computing gradients of the cost function in the context of …
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Efficient numerical methods based on integral transforms to solve option pricing problems
… then extend it to price options described by a jump-diffusion model, barrier options and the Heston’s volatility model. To approximate the integral part in the jump-diffusion model, we use the Gauss-Legendre quadrature method. Finally, we carry out extensive numerical simulations to value these …
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Essays on corporate bonds
… first chapter, I test the ability of structural models of default to price corporate bonds in the cross-section. I find that the Black-Cox model can explain 45% of the cross-sectional variation in yield spreads. The unexplained portion is correlated with proxies for credit risk and thus, cannot …
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Finite activity jump models for option pricing
… aims to look at option pricing under affine jump diffusion processes, with particular emphasis on using Fourier transforms. The focus of the thesis is on using Fourier transform to price European options and Barrier options under the Heston stochastic volatility model and the Bates model. …
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Analysis of equity and interest rate returns in South Africa under the context of jump diffusion processes
… few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realisation that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are …
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Option Pricing in Non-Competitive Markets
… and exotic options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to …
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Forward and inverse American option pricing via a complementarity approach
… of American options under a local volatility model and two jump diffusion models: Kou's jump diffusion model and the Dupire system. In Chapter 2, we establish partial differential complementarity systems for pricing American options under the aforementioned three models. We also introduce two …
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A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes
… method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on …
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Two Papers of Financial Engineering Relating to the Risk of the 2007--2008 Financial Crisis
… we construct the Spatial Capital Asset Pricing Model and the Spatial Arbitrage Pricing Theory to characterize the risk premiums of futures contracts on real estate assets. We also provide rigorous econometric analysis of the new models. Empirical study shows there exists significant spatial …
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Option Pricing models with Stochastic Volatility and Jumps
… are primarily determined by option pricing models which should be able to price exotic options consistently with the market prices of corresponding vanilla options. Additionally, option pricing models should have intuitive dynamics which are able to capture real world behavior (such as …
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Markov switching and jump diffusion models with applications in mathematical finance
In this thesis, we study some jump diffusion models with Markov switching and transition densities for Markov switching diffusion processes with and without an absorbing barrier. We work out some analytical results, which have useful applications in mathematical finance and other related fields. …
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Dynamics of bankrupt stocks
… modify the Marco Avellaneda and Mike Lipkin's jump-diffusion model for the Hard-to-Borrow stocks into the pure jump systems with stochastic intensity. Under this main assumption, our model is a two-dimensional integrate-and-fire model which is recursively tractable. By investigating the …
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A QUASIELASTIC NEUTRON SCATTERING STUDY OF WATER DIFFUSION IN FROG MUSCLE
… systems, yet there is no generally accepted model describing the interaction of water with cellular constituents. Quasi-elastic neutron scattering (QNS) is a technique capable of a spatial resolution of 1-10 (ANGSTROM) and a frequency resolution of 10('9) to 10('13) sec('-1) which is suitable …
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Sequential Modelling and Inference of High-frequency Limit Order Book with State-space Models and Monte Carlo Algorithms
… present challenges to some classic statistical modelling approaches. By adopting powerful state-space models from the field of signal processing as well as a number of Bayesian inference algorithms such as particle filtering, Markov chain Monte Carlo and variational inference algorithms, this …
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… extension of the Kou (2002) double exponential jump-diffusion model. Displacing the two exponential tails introduces additional degrees of asymmetry in the jump size distribution. The model dynamics are supported by a general equilibrium framework. Our main contribution is to derive closed-form …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… presented for pricing financial derivatives and modelling asset behaviour by bringing together fractional Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with the no–arbitrage principle. In particular, our mathematical developments include fBm defined through Mandelbrot–Van …