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 20 of 97 for “"Market Model"”.
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Construction Project Selection Under Risk: Market Model Approach
… study develops a construction project selection model under conditions of risk, and provides guidance for its implementation. The model consists of three parts. Part I selects an appropriate objective for the model based on shareholder's expected equity maximization, and examines some alternative …
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Volatility level dependence and the CEV market model
… feature motivates the use of CEV market model to model the interest rate. In this dissertation, we compare the lognormal forward LIBOR market model, the CEV market model and the normal market model through regression analysis, hedging analysis and calibration analysis to assess …
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The LIBOR market model in the South African setting
Includes abstract.
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An examination and implementation of the libor market model
… mathematics and computer science. The Libor Market Model, a model for pricing and risk-managing interest rate derivatives, is a prime example of this cherry-picking, requiring an understanding of the interest rate markets to understand the problem to be modelled, requiring some deep …
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Interpolation of Forward Rates in the LIBOR Market Model
Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set …
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Typologies of religious market model: an economic approach to religion
… and suggest a new frame for the religious market model. In religious studies, various approaches have been attempted, for example anthropology, sociology and psychology. Recently, some sociologists and economists have started to observe the marketization of religion and to explain religious …
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Application of Adjoint Differentiation (AD) for Calculating Libor Market Model Sensitivities
… intuitive ‘forward’ approach. The Libor market model (LMM) framework is selected for examples to demonstrate these computational savings, with varying degrees of complexity of the LMM explored, from a one-factor model with constant volatility to a full factor model with time homogeneous …
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Neural network libor market model for pricing and hedging interest rate derivatives
In this dissertation, we will introduce a new formulation of variational auto-encoders in order to generate the data we require. Our variational auto-encoder is based on data generation principles from elementary probability i.e. finding the inverse cumulative distribution function and using …
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Pool-based electricity market model for Malaysia electricity supply industry considering minimum generation capacity payment
… with the introduction of the single buyer market model. However, since the electricity demand is lower than the reserved capacity, the implementation of this market model does not provide transparent competition as Tenaga Nasional Berhad (TNB) has suffered massive profit erosion because of …
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Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
The popularity of the LIBOR Market Model (LMM) in interest rate modelling is a result of its consistency with market practice of pricing interest rate derivatives. In the context of a life insurance company, the LMM is calibrated to swaptions as they are actively traded for a wide variety of …
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A Strong Form Test of the Efficient Market Model Applied to the u.s. Hog Futures Market
Made available in DSpace on 2014-12-13T19:23:22Z (GMT). No. of bitstreams: 1 7811230.pdf: 6969588 bytes, checksum: 275b17fc6edc29105767f3185b6cb4e2 (MD5) Previous issue date: 1978
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An empirical test of the perfect market model hypothesis: an analysis of the reaction of stock returns to quarterly earnings data.
Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, 1973
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Incompatibility of lognormal forward-Libor and Swap market models
The lognormal forward-Libor and Swap market models were formulated to price caps and swaptions. However, the prices computed by these two models, under equivalent measures, are reported to be unequal. This study investigates this incompatibility by computing the prices of caps and swaptions under …
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Break-even volatility for caps, floors and swaptions
… the context of the South African interest rate market. Introduced by Dupire (2006), break-even volatility is a retrospective measure defined as the volatility that ensures the profit or loss from a delta hedged option position is zero. Break-even volatility sheds light on the inner structure of …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
In this thesis, we present interest rate models and a credit risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward …
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Approximations to the Lévy LIBOR Model
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the construction of LIBOR Market Model (LMM) and address the major problems associated with specifically the drift component of LMM. Due to the complexity of the drift for LMM, the Monte Carlo method seems to be …
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Tenure in transition : case of the LSM Cooperative Housing Estate, Lublin, Poland
This thesis explores various tenure models as a means to understand development in transition. The emergence of new markets, aspirations, needs and varied agendas of the actors in the LSM Cooperative Housing Estate in Lublin, Poland, has resulted in conflicts in tenure claims to land and building. …
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Short-Term, Long-Term, and Efficiency Impacts of Recent Mergers and Acquisitions in the U.S. Banking Industry
… firms. The first methodology is a modified market model that controls for shocks common to the banking industry. The second is an EGARCH (1,1) model that adjusts for the violated regression assumptions of the traditional market model event study. Namely, it controls for the linearity …
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Impacts of Changing Inflation Expectations on Wealth Transfers, Investment Behavior, and Valuation
… of changes in inflation expectations on the market value of common equity. Based on existing theory an analytical model is presented and used to structure an empirical model. Multiple index versions of the market model are used to control for market impacts. Additional variables are included …
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Characteristic function pricing with the Heston-LIBOR hybrid model
… for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well as the one …
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