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.
Results
Showing 1 to 20 of 31 for “"market models"”.
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Convergence in incomplete market models
… and hedging of contingent claims in incomplete markets has lead to the development of various valuation methodologies. This thesis examines the mean-variance and variance-optimal approaches to risk-minimisation and shows that these are robust under the convergence from discrete- to …
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Lévy processes in credit risk and market models
Mathematical credit risk models in the literature are mainly models based on Brownian motion although it is known that real-life financial data provides a different statistical behavior than that implied by these models. Lévy processes are an appropriate tool to increase accuracy of models in …
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Time-inhomogeneous Lévy processes in cross-currency market models
Anwendung von der zeit-inhomogenen Levy Prozessen <br>für die Bewertung von Cross-Currency Derivaten.
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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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Game theoretic formulations and solution methods for microeconomic market models
… • the formulation and study of a unified power market model encompassing different microeconomic behavioral assumptions, capacity markets, emission permit auctions, and consumer surplus maximization; • an investigation of differential Nash games with mixed state-control constraints. Although the …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
… its accurate pricing and hedging in a volatile market is a challenge for traders. The reason for this is that, comparatively, the behaviour on an individual interest rate is more complex than that of a stock price. To price any interest rate product, it is essential to develop an interest rates …
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Assessing the technical and financial viability of broadband satellite systems using a cost per T1 minute metric
… based broadband communications systems. Global market models based on Internet growth and computer penetration are developed. Initially systems are limited by the available market, however as the market increases, the design of the system becomes the limiting factor. These limits include …
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Generalized Volatility-Stabilized Processes
… as they extend the Volatility-Stabilized Market models introduced in Fernholz and Karatzas (2005). First, we show how to construct a weak solution of the underlying system of stochastic differential equations. In particular, we express the solution in terms of time-changed squared-Bessel …
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Essays on Endogenously Incomplete Markets
… dissertation constitute a study of macroeconomic models with markets that are endogenously incomplete. Chapter 2 provides microfoundations for two types of widely used incomplete market models while chapter 3 studies the role for policy in endogenously incomplete models. Chapter 4 examines the …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
… bounds for European option prices in incomplete market models, to compare martingale measures and to compare path-dependent options.
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Information Structures in Nash and Leader-Follower Strategies
… games and optimal coordination problems and two market models of duopoly with this type of information structure are extensively analyzed and examined. Finally, sufficient conditions for existence of the solutions of both the stochastic optimal coordination problem with decision-dependent …
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The feasibility of establishing a secondary mortgage market in the Philippines
… of an effective secondary housing mortgage market in the Philippines. We will use secondary mortgage market models from the United States and other countries with well-established secondary mortgage institutions (SMIs) as a lens through which to analyze the readiness of the Philippine …
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Dynamic load-balancing of StreamIt cluster computations
… on top of this simulation is an agent-based market used for load balancing the computation at StreamIt check-points to adapt to exogenously changing loads on the nodes of the cluster. The market models the structure of the computation as a supply chain. Our experiments study the throughput …
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Emerald cities : the emergence of mega developments in the 21st century
… framework for three possible distinct megacity market models. The thesis continues with case studies of three new cities, each with their own unique theme and reasons for being developed. Finally, the megacity phenomenon is assessed from the perspective of broader issues such as sustainability …
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Privatization of power supply in Lebanon
… of three case studies, to define the different market models available and the requirements, strengths and weaknesses of each model. Finally, based on the country's and sector's specificities, we recommend a two-phase privatization strategy that calls for a corporatization and restructuring …
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A comprehensive view of Markov-Functional models and their application
Markov-Functional models are a very powerful class of market models which calibrate and compute prices and Greeks quickly. This dissertation explains, in detail, how Markov-Functional models work as well as discussing all of the specific models developed in the literature. It contains the key …
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Three aspects of investment decisions under terminal wealth constraints
… by which the investor participates in potential market gains. We extend the analysis of conditional stochastic dominance developed by Zagst et al. (2019) to enable the comparison of GOPISs with different venture and benchmark portfolios. We find that the venture portfolio, when determined …
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Three aspects of investment decisions under terminal wealth constraints
… by which the investor participates in potential market gains. We extend the analysis of conditional stochastic dominance developed by Zagst et al. (2019) to enable the comparison of GOPISs with different venture and benchmark portfolios. We find that the venture portfolio, when determined …
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Dealers, insiders and bandits : learning and its effects on market outcomes
… seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in defining …
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Jump detection tests in financial time series ? a deep learning approach
In most financial market models, the asset price is driven by continuous Brownian motion. An additional complexity to such a model is the inclusion of a discontinuous jump process. Jumps are theorised to be rare, sudden, and thought to be the result of the market reacting to new information. Jump …
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