In this thesis two contributions are made to the area of mathematical finance. First, in order to explain the non-trivial skewness and kurtosis that is observed in the time series data of constant maturity swap (CMS) rates, we employ the pure jump Levy processes, i.e. in particular Variance...

Deterministische Discounted Cash Flow Modelle (DCF-Modelle) greifen im Rahmen der Unternehmensbewertung lediglich auf einwertige Größen zurück. Bei stochastischen Modellen werden einzelne Plangrößen hingegen mehrwertig dargestellt, indem aus Wahrscheinlichkeitsverteilungen verschiedene...

The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to...

This dissertation is comprised of two related tracts: (i) Quantitative Modeling and (ii) Analysis of Asset Flow Differential Equations. In the former a data set of over 100,000 daily closed-end fund prices is analyzed using mixed-effects regressions with the objective of understanding price...

Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of market price (MP) daily for a large set of closed-end funds trading in...

This paper takes a simple life insurance product that pays a benefit upon the death of a person and looks at two separate ways of setting the price, or premium, for the product. The premium is collected only once; on the date that the product is purchased. The first method of pricing uses the...

This paper studies dynamical and cross-sectional structures of bonds, typically used as riskfreeassets in mathematical finance. After reviewing a mathematical theory on commonfactors, also known as principal components, we compute empirical common factors for 10US government bonds (3month,...

In the second chapter, we investigate the existence of a competitive equilibrium in a deterministic intertemporal economy with infinitely many consumers when the aggregate wealth is restricted to be finite. After we show the existence we discuss the efficiency of the equilibrium in relation with...

In recent years leading-edge financial institutions routinely use advanced analytical and numerical techniques from science and engineering to create, deploy, and manage new financial instruments. The proliferation and complexity of the available financial instruments in conjunction with the...