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 326 for “"jumps"”.
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Internal hydraulic jumps with upstream shear
Internal hydraulic jumps in flows with upstream shear are investigated numerically and theoretically. The role of upstream shear has not previously been thoroughly investigated, although it is important in many oceanographic flows such as exchange flows and stratified flow over topography. Several …
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Internal hydraulic jumps with upstream shear
Internal hydraulic jumps in flows with upstream shear are investigated numerically and theoretically. The role of upstream shear has not previously been thoroughly investigated, although it is important in many oceanographic flows such as exchange flows and stratified flow over topography. Several …
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Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets
… a number of combinations of univariate tests for jumps. The proposed test allows us to distinguish between transitory-permanent and endogenous-exogenous co-jumps and determine a causality effect between price and liquidity. In the empirical application, we find evidence of contemporaneous and …
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Backward stochastic differential equations with jumps are stable
… of stochastic differential equations with jumps, hereinafter BSDEs or BSDE when we refer to a single object. With the term stability we understand the continuity of the operator that maps the standard data of a BSDE, a set which among others includes the terminal value of the BSDE and the …
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Stochastic stability of replicator dynamics with random jumps
We further generalize the stochastic version of the replicator dynamics due to Fudenberg and Harris. In particular, we add a random jump term to the payo ff function to simulate anomalous events and their e ffects on the fi tness. Assuming a 2 by 2 game and using a particular characteristic of the …
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Long jumps in surface diffusion on tungsten(211)
The length of the jumps executed by atoms during diffusion is important for understanding atomic transport in crystal growth. Molecular dynamics simulations suggest that atomic jumps longer than a nearest-neighbor spacing should contribute at elevated temperatures. Attempts have been made in the …
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Option Pricing models with Stochastic Volatility and Jumps
… (such as stochastic volatility effects and jumps in the price of the underlying). This dissertation tackles the question of which option pricing model to use; it compares diffusion, pure jump and jump-diffusion models. All models are fitted to one-day price data on S&P500 European vanilla …
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Jitters, jumps, and peso problems in foreign exchange
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1995.
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Testing for jumps and cojumps in financial markets
… introduce a new testing methodology to detect cojumps in multi-asset returns. We define a cojump as a jump in at least one dimension of the return processes. For a multivariate process that follows a semimartingale, and with no other specific assumptions on the process, we form a test statistic …
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An introduction to interest rate jumps at deterministic times
The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the …
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Price jumps and volatility in U.S. agricultural futures markets
… supply. The second essay demonstrates that jumps in corn futures prices have increased with electronic trading and the shift to real-time announcement of USDA reports. Using intraday prices from 2008 to 2015, we employ a nonparametric test to detect jumps and variance analysis to estimate …
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Implementing short-rate models with jumps at deterministic times
… models which include the possibility of jumps at deterministic times. An application of the finite-difference method enables the pricing of bonds and bond options in these short-rate models with different types of jump distributions. A closed-form solution for bond prices, when the jumps …
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Interest-Rate Option Pricing Accounting For Jumps At Deterministic Times
… short rate model and accounts for random-sized jumps at deterministic times following ideas similar to those introduced by Kim and Wright (2014). Finite difference methods are used successfully to find PDE solutions via backwards diffusion of the option value equation to its initial state. This …
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… into account with infinite activity pure Lévy jumps models and the importance of stochastic volatility to reduce pricing errors for SP500 index options without regard to jumps specifications. This finding is important because recent studies have shown that stochastic volatility in a …
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Identifying jumps in financial time series: a comparative study of jump detection tests
… in asset price discontinuities, known as jumps. It is therefore important to not only incorporate jumps into diffusion models but also to disentangle the diffusion component, which can be hedged, from the jump component, which typically cannot. Consequently, there is a need to identify …
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Highly efficient pricing of exotic derivatives under mean-reversion, jumps and stochastic volatility
The pricing of exotic derivatives continues to attract much attention from academics and practitioners alike. Despite the overwhelming interest, the task of finding a robust methodology that could derive closed-form solutions for exotic derivatives remains a difficult challenge. In addition, the …
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Option pricing models with jumps in the context of the JSE's Top40 index
Includes bibliographical references.
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
Stylized features of the electricity market are non-storeability, strong seasonality, high volatility and extreme events where the electricity spot price exhibits spiky behaviour and volatility clustering. Extreme events appear when e.g. a power plant is unexpectedly closed down, or temperature …
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