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You searched for subject:(Quadratic variation). Showing records 1 – 7 of 7 total matches.

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University of Helsinki

1. Long, Feiran. Portfolio selection formulated in terms of Semimartingales and Quadratic Variation.

Degree: Department of Political and Economic Studies; Helsingfors universitet, Statsvetenskapliga fakulteten, Institutionen för politik och ekonomi, 2012, University of Helsinki

 Every since Harry Markowitz published his remarkable piece on portfolio diversification in the 50s which then evolved into Modern Portfolio Theory (MPT), the trade-off between… (more)

Subjects/Keywords: portfolio optimization; semimartingale; quadratic variation; Economics; Kansantaloustiede; Nationalekonomi

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Long, F. (2012). Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. (Masters Thesis). University of Helsinki. Retrieved from http://hdl.handle.net/10138/37148

Chicago Manual of Style (16th Edition):

Long, Feiran. “Portfolio selection formulated in terms of Semimartingales and Quadratic Variation.” 2012. Masters Thesis, University of Helsinki. Accessed November 29, 2020. http://hdl.handle.net/10138/37148.

MLA Handbook (7th Edition):

Long, Feiran. “Portfolio selection formulated in terms of Semimartingales and Quadratic Variation.” 2012. Web. 29 Nov 2020.

Vancouver:

Long F. Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. [Internet] [Masters thesis]. University of Helsinki; 2012. [cited 2020 Nov 29]. Available from: http://hdl.handle.net/10138/37148.

Council of Science Editors:

Long F. Portfolio selection formulated in terms of Semimartingales and Quadratic Variation. [Masters Thesis]. University of Helsinki; 2012. Available from: http://hdl.handle.net/10138/37148


Universidade do Rio Grande do Sul

2. Marmitt, Juliano. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.

Degree: 2012, Universidade do Rio Grande do Sul

Neste trabalho, visamos mostrar as características usuais dos dados de alta frequência, bem como utilizar modelagem não paramétrica para estimar a variância/volatilidade para esses dados.… (more)

Subjects/Keywords: Econometria; Market microstructure; Estimação; Intraday seasonality; Volatilidade; Quadratic variation; Realized variance; Realized volatility; Bipower variation; Jumps; High-frequency data

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APA (6th Edition):

Marmitt, J. (2012). Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Thesis, Universidade do Rio Grande do Sul. Accessed November 29, 2020. http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Marmitt, Juliano. “Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática.” 2012. Web. 29 Nov 2020.

Vancouver:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2012. [cited 2020 Nov 29]. Available from: http://hdl.handle.net/10183/61935.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Marmitt J. Dados de alta frequência : averiguando o impacto de microestrutura de mercado e sazonalidade intradiária na detecção de saltos e estimação da variação quadrática. [Thesis]. Universidade do Rio Grande do Sul; 2012. Available from: http://hdl.handle.net/10183/61935

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Alabama

3. Zheng, Xiaohua. Volatility analysis for high frequency financial data.

Degree: 2009, University of Alabama

 Measuring and modeling financial volatility are key steps for derivative pricing and risk management. In financial markets, there are two kinds of data: low-frequency financial… (more)

Subjects/Keywords: Electronic Thesis or Dissertation;  – thesis; Mathematics; Convergence in mean square; Convergence in probability; High frequency data; quadratic variation; Realized volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zheng, X. (2009). Volatility analysis for high frequency financial data. (Thesis). University of Alabama. Retrieved from http://purl.lib.ua.edu/74

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zheng, Xiaohua. “Volatility analysis for high frequency financial data.” 2009. Thesis, University of Alabama. Accessed November 29, 2020. http://purl.lib.ua.edu/74.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zheng, Xiaohua. “Volatility analysis for high frequency financial data.” 2009. Web. 29 Nov 2020.

Vancouver:

Zheng X. Volatility analysis for high frequency financial data. [Internet] [Thesis]. University of Alabama; 2009. [cited 2020 Nov 29]. Available from: http://purl.lib.ua.edu/74.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zheng X. Volatility analysis for high frequency financial data. [Thesis]. University of Alabama; 2009. Available from: http://purl.lib.ua.edu/74

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

4. Samoura, Yacouba. Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations.

Degree: Docteur es, Mathématiques Appliquées, 2016, Université Blaise-Pascale, Clermont-Ferrand II

Cette thèse est consacrée à l’étude de théorèmes limites : grandes déviations et déviations modérées pour des estimateurs liés à des modèles financiers. Dans une… (more)

Subjects/Keywords: Grandes déviations et déviations modérées; Diffusions synchronisées et nonsynchronisées; Covariation réalisée; Processus autorégressif; Large and Moderate deviations principles; Synchrone and asynchrone diffusions; Quadratic variation; Realised volatility; Autoregressive process

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Samoura, Y. (2016). Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations. (Doctoral Dissertation). Université Blaise-Pascale, Clermont-Ferrand II. Retrieved from http://www.theses.fr/2016CLF22769

Chicago Manual of Style (16th Edition):

Samoura, Yacouba. “Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations.” 2016. Doctoral Dissertation, Université Blaise-Pascale, Clermont-Ferrand II. Accessed November 29, 2020. http://www.theses.fr/2016CLF22769.

MLA Handbook (7th Edition):

Samoura, Yacouba. “Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations.” 2016. Web. 29 Nov 2020.

Vancouver:

Samoura Y. Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations. [Internet] [Doctoral dissertation]. Université Blaise-Pascale, Clermont-Ferrand II; 2016. [cited 2020 Nov 29]. Available from: http://www.theses.fr/2016CLF22769.

Council of Science Editors:

Samoura Y. Estimation de la volatilité pour des processus de diffusion : grandes déviations et déviations modérées : Estimation of the realised volatility for diffusion processes : large and moderate deviations. [Doctoral Dissertation]. Université Blaise-Pascale, Clermont-Ferrand II; 2016. Available from: http://www.theses.fr/2016CLF22769

5. Liu, Xiaohong. Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization .

Degree: 2016, University of Ottawa

 Multi-frame image super-resolution focuses on reconstructing a high-resolution image from a set of low-resolution images with high similarity. Since super-resolution is an ill-posted problem, regularization… (more)

Subjects/Keywords: Multi-Frame Super-Resolution; Difference Curvature; Half-Quadratic Estimation; Bilateral Total Variation

…norms. (a) The norm functions of L1 , L2 , Leclerc, Lorentzian and half-quadratic… …4.5 55 Error norms. (a) The half-quadratic estimation f (x, α) with… …Nomenclature Abbreviations BEP Bilateral Edge-Preserving BTV Bilateral Total Variation CG… …Variation DFT Discrete Fourier Transform EM Expectation-Maximization FGWs First-Generation… …Total Variation xiii 1 Chapter 1 Introduction Super-resolution (SR) is a method… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Liu, X. (2016). Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization . (Thesis). University of Ottawa. Retrieved from http://hdl.handle.net/10393/35546

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Liu, Xiaohong. “Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization .” 2016. Thesis, University of Ottawa. Accessed November 29, 2020. http://hdl.handle.net/10393/35546.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Liu, Xiaohong. “Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization .” 2016. Web. 29 Nov 2020.

Vancouver:

Liu X. Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization . [Internet] [Thesis]. University of Ottawa; 2016. [cited 2020 Nov 29]. Available from: http://hdl.handle.net/10393/35546.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Liu X. Robust Multiframe Super-Resolution with Adaptive Norm Choice Using Difference Curvature Based BTV Regularization . [Thesis]. University of Ottawa; 2016. Available from: http://hdl.handle.net/10393/35546

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Queensland

6. Van Staden, Pieter Marais. Numerical methods for mean-risk portfolio optimization.

Degree: School of Mathematics and Physics, 2020, University of Queensland

Subjects/Keywords: Asset allocation; Portfolio optimization; Mean-variance; Constrained optimal control; Pre-commitment; Time-consistent; Impulse control; Quadratic variation; Robustness; 0102 Applied Mathematics; 0103 Numerical and Computational Mathematics

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APA (6th Edition):

Van Staden, P. M. (2020). Numerical methods for mean-risk portfolio optimization. (Thesis). University of Queensland. Retrieved from https://espace.library.uq.edu.au/view/UQ:ba0eda1/thumbnail_s4408212_final_thesis_t.jpg ; https://espace.library.uq.edu.au/view/UQ:ba0eda1/s4408212_final_thesis.pdf ; https://espace.library.uq.edu.au/view/UQ:ba0eda1

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Van Staden, Pieter Marais. “Numerical methods for mean-risk portfolio optimization.” 2020. Thesis, University of Queensland. Accessed November 29, 2020. https://espace.library.uq.edu.au/view/UQ:ba0eda1/thumbnail_s4408212_final_thesis_t.jpg ; https://espace.library.uq.edu.au/view/UQ:ba0eda1/s4408212_final_thesis.pdf ; https://espace.library.uq.edu.au/view/UQ:ba0eda1.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Van Staden, Pieter Marais. “Numerical methods for mean-risk portfolio optimization.” 2020. Web. 29 Nov 2020.

Vancouver:

Van Staden PM. Numerical methods for mean-risk portfolio optimization. [Internet] [Thesis]. University of Queensland; 2020. [cited 2020 Nov 29]. Available from: https://espace.library.uq.edu.au/view/UQ:ba0eda1/thumbnail_s4408212_final_thesis_t.jpg ; https://espace.library.uq.edu.au/view/UQ:ba0eda1/s4408212_final_thesis.pdf ; https://espace.library.uq.edu.au/view/UQ:ba0eda1.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Van Staden PM. Numerical methods for mean-risk portfolio optimization. [Thesis]. University of Queensland; 2020. Available from: https://espace.library.uq.edu.au/view/UQ:ba0eda1/thumbnail_s4408212_final_thesis_t.jpg ; https://espace.library.uq.edu.au/view/UQ:ba0eda1/s4408212_final_thesis.pdf ; https://espace.library.uq.edu.au/view/UQ:ba0eda1

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Waterloo

7. Wang, Jian. Numerical Methods for Continuous Time Mean Variance Type Asset Allocation.

Degree: 2010, University of Waterloo

 Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general… (more)

Subjects/Keywords: mean variance asset allocation; HJB PDE; efficient frontier; pre-commitment mean variance; time-consistent mean variance; mean quadratic variation; viscosity solution; stochastic control

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wang, J. (2010). Numerical Methods for Continuous Time Mean Variance Type Asset Allocation. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5078

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Jian. “Numerical Methods for Continuous Time Mean Variance Type Asset Allocation.” 2010. Thesis, University of Waterloo. Accessed November 29, 2020. http://hdl.handle.net/10012/5078.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Jian. “Numerical Methods for Continuous Time Mean Variance Type Asset Allocation.” 2010. Web. 29 Nov 2020.

Vancouver:

Wang J. Numerical Methods for Continuous Time Mean Variance Type Asset Allocation. [Internet] [Thesis]. University of Waterloo; 2010. [cited 2020 Nov 29]. Available from: http://hdl.handle.net/10012/5078.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang J. Numerical Methods for Continuous Time Mean Variance Type Asset Allocation. [Thesis]. University of Waterloo; 2010. Available from: http://hdl.handle.net/10012/5078

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.