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NSYSU

1.
Chen, Wei-ping.
The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG *Process* and NIG * Process*.

Degree: Master, Finance, 2011, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0821111-040239

none
*Advisors/Committee Members: none (chair), none (committee member), none (chair), none (committee member).*

Subjects/Keywords: Barrier option; Credit risk; Implied default point; Levy process

Record Details Similar Records

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

APA (6^{th} Edition):

Chen, W. (2011). The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG Process and NIG Process. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0821111-040239

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Chen, Wei-ping. “The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG Process and NIG Process.” 2011. Thesis, NSYSU. Accessed November 28, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0821111-040239.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Chen, Wei-ping. “The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG Process and NIG Process.” 2011. Web. 28 Nov 2020.

Vancouver:

Chen W. The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG Process and NIG Process. [Internet] [Thesis]. NSYSU; 2011. [cited 2020 Nov 28]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0821111-040239.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen W. The Analysis of Credit Risk under the Barrier Option Framework-The Comparison between VG Process and NIG Process. [Thesis]. NSYSU; 2011. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0821111-040239

Not specified: Masters Thesis or Doctoral Dissertation

KTH

2.
Herron, Christopher.
Machine Learning Based Intraday Calibration of End of Day *Implied* Volatility Surfaces.

Degree: Mathematical Statistics, 2020, KTH

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419

►

The *implied* volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market…
(more)

Subjects/Keywords: Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes; Probability Theory and Statistics; Sannolikhetsteori och statistik

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Herron, C. (2020). Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces. (Thesis). KTH. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Herron, Christopher. “Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces.” 2020. Thesis, KTH. Accessed November 28, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Herron, Christopher. “Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces.” 2020. Web. 28 Nov 2020.

Vancouver:

Herron C. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces. [Internet] [Thesis]. KTH; 2020. [cited 2020 Nov 28]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Herron C. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces. [Thesis]. KTH; 2020. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273419

Not specified: Masters Thesis or Doctoral Dissertation

Wilfrid Laurier University

3. Xie, Shengkun. Markov switching and jump diffusion models with applications in mathematical finance.

Degree: 2006, Wilfrid Laurier University

URL: https://scholars.wlu.ca/etd/50

► In this thesis, we study some jump diffusion models with Markov switching and transition densities for Markov switching diffusion processes with and without an absorbing…
(more)

Subjects/Keywords: Option Pricing; Path Integral Approach; Markov Regime Switching; Jump Diffusion; Implied Volatility; First-Passage Time; Risk Process; Ruin Probability; Applied Mathematics

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Xie, S. (2006). Markov switching and jump diffusion models with applications in mathematical finance. (Thesis). Wilfrid Laurier University. Retrieved from https://scholars.wlu.ca/etd/50

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Xie, Shengkun. “Markov switching and jump diffusion models with applications in mathematical finance.” 2006. Thesis, Wilfrid Laurier University. Accessed November 28, 2020. https://scholars.wlu.ca/etd/50.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Xie, Shengkun. “Markov switching and jump diffusion models with applications in mathematical finance.” 2006. Web. 28 Nov 2020.

Vancouver:

Xie S. Markov switching and jump diffusion models with applications in mathematical finance. [Internet] [Thesis]. Wilfrid Laurier University; 2006. [cited 2020 Nov 28]. Available from: https://scholars.wlu.ca/etd/50.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Xie S. Markov switching and jump diffusion models with applications in mathematical finance. [Thesis]. Wilfrid Laurier University; 2006. Available from: https://scholars.wlu.ca/etd/50

Not specified: Masters Thesis or Doctoral Dissertation

Penn State University

4. Zhu, Shengbo. Essays on Financial Economics and Econometrics.

Degree: 2020, Penn State University

URL: https://submit-etda.libraries.psu.edu/catalog/18113szz126

► In a recent seminal paper, Steve Ross proposed an attractive strategy to extract the physical distribution and risk aversion from just state prices. However, empirical…
(more)

Subjects/Keywords: Ross recovery theorem; equivalent martingale measure; stochastic discount factor; martingale condition; state price; path price; intrinsic inconsistency; implied process; fundamental theorem of asset pricing; canonical probability space; Markovian quasi-MLE; conditional asymptotic independence; mixing condition; near-epoch dependence

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Zhu, S. (2020). Essays on Financial Economics and Econometrics. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/18113szz126

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Zhu, Shengbo. “Essays on Financial Economics and Econometrics.” 2020. Thesis, Penn State University. Accessed November 28, 2020. https://submit-etda.libraries.psu.edu/catalog/18113szz126.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Zhu, Shengbo. “Essays on Financial Economics and Econometrics.” 2020. Web. 28 Nov 2020.

Vancouver:

Zhu S. Essays on Financial Economics and Econometrics. [Internet] [Thesis]. Penn State University; 2020. [cited 2020 Nov 28]. Available from: https://submit-etda.libraries.psu.edu/catalog/18113szz126.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhu S. Essays on Financial Economics and Econometrics. [Thesis]. Penn State University; 2020. Available from: https://submit-etda.libraries.psu.edu/catalog/18113szz126

Not specified: Masters Thesis or Doctoral Dissertation

5. Gong, Ruoting. Small-time asymptotics and expansions of option prices under Levy-based models.

Degree: PhD, Mathematics, 2012, Georgia Tech

URL: http://hdl.handle.net/1853/44798

► This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several…
(more)

Subjects/Keywords: CGMY model; Stochastic volatility model; Implied volatility; Small time asymptotics; Levy process; Asymptotic expansions; Lévy processes; Options (Finance)

Record Details Similar Records

❌

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

APA (6^{th} Edition):

Gong, R. (2012). Small-time asymptotics and expansions of option prices under Levy-based models. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/44798

Chicago Manual of Style (16^{th} Edition):

Gong, Ruoting. “Small-time asymptotics and expansions of option prices under Levy-based models.” 2012. Doctoral Dissertation, Georgia Tech. Accessed November 28, 2020. http://hdl.handle.net/1853/44798.

MLA Handbook (7^{th} Edition):

Gong, Ruoting. “Small-time asymptotics and expansions of option prices under Levy-based models.” 2012. Web. 28 Nov 2020.

Vancouver:

Gong R. Small-time asymptotics and expansions of option prices under Levy-based models. [Internet] [Doctoral dissertation]. Georgia Tech; 2012. [cited 2020 Nov 28]. Available from: http://hdl.handle.net/1853/44798.

Council of Science Editors:

Gong R. Small-time asymptotics and expansions of option prices under Levy-based models. [Doctoral Dissertation]. Georgia Tech; 2012. Available from: http://hdl.handle.net/1853/44798