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Pricing multi-asset options with levy copulas

Dushimimana, Jean Claude - 2011

ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...

Persistent link: https://www.econbiz.de/10009442040

Applications of change of numéraire for option pricing

Le Roux, Gawie - 2007

andSchachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricingproblems. The right choice of numéraire …Thesis (MComm (Mathematics))--University of Stellenbosch, 2007. …

Persistent link: https://www.econbiz.de/10009442166

Product form approximations for highly linear loss networks with trunk reservation

Bebbington, M.; Pollett, P.; Ziedins, I. - 2003

Admission controls, such as trunk reservation, are often used in loss networks to optimise their performance. Since the numerical evaluation of performance measures is complex, much attention has been given to finding approximation methods. The Erlang Fixed-Point (EFP) approximation, which is...

Persistent link: https://www.econbiz.de/10009447897

Modelling High-Dimensional Data by Mixtures of Factor Analyzers

McLachlan, G. J.; Peel, D.; Bean, R. W. - 2003

We focus on mixtures of factor analyzers from the perspective of a method for model-based density estimation from high …

Persistent link: https://www.econbiz.de/10009447914

Capital market equilibrium with moral hazard and flexible technology

Quiggin, John; Chambers, Robert G. - 2006

(Magill, M., Quinzii, M., 2002. Capital market equilibrium with moral hazard. Journal of Mathematical Economics 38, 149-190) showed that, in a stockmarket economy with private information, the moral hazard problem may be resolved provided that a spanning overlap condition is satisfed. This...

Persistent link: https://www.econbiz.de/10009447956

Successive nonparametric estimation of conditional distributions

Vargas-Guzman, J. A.; Dimitrakopoulos, R. - 2003

Spatial characterization of non-Gaussian attributes in earth sciences and engineering commonly requires the estimation … the estimation variance of probability estimates is performed, as additional data are successively included into the … estimation process. In addition, the approach leads to an efficient nonparametric simulation algorithm for non-Gaussian random …

Persistent link: https://www.econbiz.de/10009447974

Economic and environmental impacts of pollution control in a system of environment and economic interdependence

Leeves, GD; Herbert, RD - 2002

The importance of the rate of change of the pollution stock in determining the damage to the environment has been an issue of increasing concern in the literature. This paper uses a three-sector (economy, population and environment), non-linear, discrete time, calibrated model to examine...

Persistent link: https://www.econbiz.de/10009448028

Estimating and evaluating the statistics of gapped local-alignment scores

Bailey, T. L.; Gribskov, M. - 2002

-values during estimation. Finally, we measure the classification accuracy of p-values estimated in different ways and observe that …

Persistent link: https://www.econbiz.de/10009448038

Local risk minimization, consistent interest-rate modeling, and applications to life insurance

Pansera, Jérôme - 2008

This thesis studies local risk minimization, consistent interest-rate modeling, and their applications to life insurance.Part I considers local risk minimization, which is one possible approach to price and hedge claims in incomplete markets. In this first part, our two main results are...

Persistent link: https://www.econbiz.de/10009466029

Analysis of Economic Models Through Calculus of Variations

Arora, Raman - 2005

This thesis is a combination of two science fields: Mathematics and Economics. Mathematics is often used to formulate a … constraints. This topic brings out one of the best ways to show the relationship between mathematics and economics. My thesis …

Persistent link: https://www.econbiz.de/10009466942