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Dissertations / Theses on the topic 'Markets – Mathematical models'

Author: Grafiati

Published: 10 March 2023

Last updated: 31 July 2025

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1

Putyatin, Vladislav Evgenievich. "Mathematical models for derivative securities markets." Thesis, University of Southampton, 1998. https://eprints.soton.ac.uk/50648/.

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The classical Black-Scholes analysis determines a unique, continuous, trading strategy which allows one to hedge a financial option perfectly and leads to a unique price for the option. It assumes, however, that there are no transaction costs involved in implementing this strategy, and the stock market is absolutely liquid. In this work some new results are obtained to accommodate costs of hedging, which occur in practice, and market imperfections into the option pricing framework. In Part One transaction charges are dealt with by means of the mean-variance technique, originally developed by M

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2

Burth, Angela J. "Virtual military markets." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2005. http://library.nps.navy.mil/uhtbin/hyperion/05Sep%5FBurth.pdf.

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3

關惠貞 and Wai-ching Josephine Kwan. "Trend models for price movements in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.

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4

Karoui, Lotfi. "Three essays on fixed income markets." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=103203.

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This thesis comprises three essays that explore several theoretical and empirical features of affine term structure models. In the first essay, we focus on the ability of continuous-time affine term structure models to capture time variability in the second conditional moment. Using data on US Treasury yields, we conclude that affine term structure models are much better at extracting time-series volatility from the cross-section of yields than argued in the literature. These models have nonetheless difficulty capturing volatility dynamics at the short end of the maturity spectrum, perhaps ind

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5

Babbar, Katia Amrit. "Aspects of stochastic implied volatility in financial markets." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.274925.

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6

Hasan, Ebrahim A. Rahman. "Strategic Genco offers in electric energy markets cleared by merit order." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115916.

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In an electricity market cleared by merit-order economic dispatch we identify necessary and sufficient conditions under which the market outcomes supported by pure strategy Nash equilibria (NE) exist when generating companies (Gencos) game through continuously variable incremental cost (IC) block offers. A Genco may own any number of units, each unit having multiple blocks with each block being offered at a constant IC.<br>Next, a mixed-integer linear programming (MILP) scheme devoid of approximations or iterations is developed to identify all possible NE. The MILP scheme is systematic and gen

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7

Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.

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8

董森 and Sen Dong. "Two essays on idiosyncratic volatility of stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.

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9

Thai, Doan Hoang Cau Australian Graduate School of Management Australian School of Business UNSW. "Analysing tacit collusion in oligopolistic electricity markets using a co-evolutionary approach." Awarded by:University of New South Wales. Australian Graduate School of Management, 2005. http://handle.unsw.edu.au/1959.4/22478.

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Wholesale electricity markets now operate in many countries around the world. These markets determine a spot price for electricity as the clearing price when generators bid in energy at various prices. As the trading in a wholesale electricity market can be seen as a dynamic repeated game, it would be expected that profit maximising generators learn to engage in tacit collusion to profitably increase spot market prices. This thesis investigates this tacit collusion of generators in oligopolistic electricity markets. We do not follow the approach of previous work in game theory that presupposes

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10

Lee, Kelvin. "A study of supply function equilibria in electricity markets /." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112573.

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Deregulation is a growing trend and the electricity industry has not escaped its reaches. With worldwide experiences spanning only thirty years, there is substantial interest in analyzing current and future market designs so that market power cannot be used to increase the price of electricity significantly.<br>This thesis analyzes market power in electricity markets through the notion of Nash equilibrium (NE) and, more specifically, through Supply Function Equilibrium (SFE). We will examine how SFE can be modified to incorporate capacity constraints on generators and generating companies (gen

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11

Liu, Chung-shu. "Objectives and incentives in financial markets." Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/40155.

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This dissertation is a collection of papers investigating objectives and incentives in financial markets. The first essay (Chapter 2) deals with the endogenous determination of credit history, credit-worthiness, loans and efforts by borrowers over time. A financial market with adverse selection and moral hazard is analyzed. Facing the adverse selection, lenders are not able to offer separate contracts to different types of borrowers. However, knowing borrowers' credit histories, lenders are able to assign different credit worthiness to borrowers that have different credit histories, and offer

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12

Jin, Zengxiang, and 金增祥. "Price discovery in the property forward and spot markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38957759.

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13

Mittoo, Usha Rani. "Academic information and financial markets : an empirical investigation of market learning from the size anomaly." Thesis, University of British Columbia, 1988. http://hdl.handle.net/2429/29023.

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This dissertation examines the impact of academic information on the capital markets. A test of market learning from academic information is performed by examining the impact of published research about the size anomaly on the underlying asset pricing process. A theoretical framework to examine the effect of events that affect the equilibrium pricing process is first developed in a simple economy with one single risky asset. A learning model based on Bayesian updating is proposed and its empirical implications are derived. The model predicts a change in the asset prices in the case of mark

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14

Sun, Yi, and 孙毅. "Path-dependent valuation of generators in the capacity, energy and carbon markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B45876332.

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15

Kleinow, Torsten. "Testing continuous time models in financial markets." Doctoral thesis, [S.l. : s.n.], 2002. http://deposit.ddb.de/cgi-bin/dokserv?idn=965412091.

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16

Liu, Youfei, and 劉有飛. "Network and temporal effects on strategic bidding in electricity markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36895763.

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17

Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.

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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging market

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18

Celebi, Emre. "MODELS OF EFFICIENT CONSUMER PRICING SCHEMES IN ELECTRICITY MARKETS." Thesis, University of Waterloo, 2005. http://hdl.handle.net/10012/811.

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Suppliers in competitive electricity markets regularly respond to prices that change hour by hour or even more frequently, but most consumers respond to price changes on a very different time scale, i. e. they observe and respond to changes in price as reflected on their monthly bills. This thesis examines mixed complementarity programming models of equilibrium that can bridge the speed of response gap between suppliers and consumers, yet adhere to the principle of marginal cost pricing of electricity. It develops a computable equilibrium model to estimate the time-of-use (TOU) prices t

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19

Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.

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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagon

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20

Fournié, Guillaume. "The potential for silent circulation of highly pathogenic avian influenza viruses subtype H5N1 to be sustained in live bird markets : a survey of markets in northern Viet Nam and Cambodia and mathematical models of transmission." Thesis, Royal Veterinary College (University of London), 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.559027.

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21

Golab, Anna. "An investigation into the volatility and cointegration of emerging European stock markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.

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This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability. The majority of prior studies on stock market comovements

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22

Jaramba, Toddy. "Volatility transmission across South African financial markets: does the bull – bear distinction matter?" Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1013396.

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The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in th

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23

Thupayagale, Pako. "Essays in long memory : evidence from African stock markets." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/883.

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24

Niklewski, Jacek. "Multivariate GARCH and portfolio optimisation : a comparative study of the impact of applying alternative covariance methodologies." Thesis, Coventry University, 2014. http://curve.coventry.ac.uk/open/items/a8d7bf49-198d-49f2-9894-12e22ce2d7f1/1.

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This thesis investigates the impact of applying different covariance modelling techniques on the efficiency of asset portfolio performance. The scope of this thesis is limited to the exploration of theoretical aspects of portfolio optimisation rather than developing a useful tool for portfolio managers. Future work may entail taking the results from this work further and producing a more practical tool from a fund management perspective. The contributions made by this thesis to the knowledge of the subject are that it extends literature by applying a number of different covariance models to a

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25

Rici, Emerson Tadeu Gonçalves. "Modelos matemáticos em finanças: desenvolvimento histórico-científico e riscos associados às premissas estruturais." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-28042008-110735/.

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Este trabalho tem como objetivo estudar as origens dos estudos ligados à gestão do risco e suas aplicações no mercado de capitais, incluindo o mercado brasileiro. São destacadas importantes características estatísticas desses estudos, algumas premissas probabilísticas básicas e o questionamento do uso indiscriminado dos modelos matemáticos desenvolvidos para Finanças. Apresentamos alguns tipos de distribuições estatísticas que podem ser aplicadas ao mercado de capitais. Esta pesquisa apresenta, também, características de sistemas complexos, da Teoria da Utilidade de Bernoulli, da Teoria da Uti

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26

Fielden, Thomas Robert. "Modeling Market and Regulatory Mechanisms for Pollution Abatement with Sharp and Random Variables." PDXScholar, 2011. https://pdxscholar.library.pdx.edu/open_access_etds/282.

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This dissertation is motivated by the problem of uncertainty and sensitivity in business- class models such as the carbon emission abatement policy model featured in this work. Uncertain model inputs are represented by numerical random variables and a computational methodology is developed to numerically compute business-class models as if sharp inputs were given. A new description for correlation of random variables is presented that arises spontaneously within a numerical model. Methods of numerically computing correlated random variables are implemented in software and represented. The majo

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27

Shao, Haimei. "Price discovery in the U.S. bond market trading strategies and the cost of liquidity." Doctoral diss., University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5032.

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The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equa

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28

Veraart, Luitgard Anna Maria. "Mathematical models for market making, option pricing and systemic risk." Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613365.

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29

Mazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.

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This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.<br>The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of dome

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30

Blix, Magnus. "Essays in mathematical finance : modeling the futures price." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-534.

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This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. A closed form analytical expression for European call options is derived within the model and used to calibrate the model to implied market volatilities. The result is used to price swaptions and calendar spread options on the futures curve. In the second paper, a financial market is specified where the und

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31

Jitsuchon, Somchai. "Three applications of market incompleteness and market imperfection." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0026/NQ38906.pdf.

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32

Wang, Ying, and 王瑩. "A study of mutual fund flow and market return volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B26843572.

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33

Emeny, Matthew. "The book-to-market effect and the behaviour of stock returns in the Australian equity market." Title page, contents and abstract only, 1998. http://web4.library.adelaide.edu.au/theses/09ECM/09ecme533.pdf.

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"August 1998" Bibliography: leaves 74-78. The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-

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34

Li, Cheng. "Three aspects of mathematical models for asymmetric information in financial market." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3347/.

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The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25] where the risky asset value admits an arbitrary discrete distribution. In contrast to existing results on insider model, the insiders optimal strategy in this model, if it exists, is not of feedback type. Therefore, a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the insiders strategy is not enforced. However, the insider can employ some feedback strategies whose associated expected profit are close to the optimal

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35

Li, Na. "Stochastic Models of Stock Market Dynamics." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-144307.

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36

Mikaelyan, Anna. "Analitical study of the Schönbucher-Wilmott model of the feedback effect in illiquid markets." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3587.

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<p>This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid market. This is a nonlinear model. Using analytical methods we studied the symmetry properties of theequation which described the given model. We called this equation aSchonbucher-Wilmott equation or the main equation. We have foundinnitesimal generators of the Lie algebra, containing the informationabout the symmetry group admitted by the main equation. We foundthat there could be dierent types of the unknown function g, whichwas located in the main equation, in particular four types which ad

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Pucek, Ludvig, and Viktor Sonebäck. "Hierarchical clustering of market risk models." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208307.

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This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. The data used is daily log returns for OMXS30 stock index and Bloomberg Barclays US aggregate bond index (AGG) from which daily risk estimates are simulated. In total, 33 market risk models are included in the study. These models consist of unconditional variance models (Student's t distribution,

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38

Cheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.

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Siu, Kin-bong Bonny, and 蕭健邦. "Expected shortfall and value-at-risk under a model with market risk and credit risk." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37727473.

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40

Mkhwanazi, MA (Mpendulo Armstrong). "Efficient Monte Carlo simulations of pricing captions using Libor market models." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/9114.

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Includes bibliographical references.<br>The cap option (caption) is one of common European exotic options discussed in literature. This (interest rates) exotic option has no closed form solution and 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 model describing the behaviour of the entire zero coupon yield curve. The equity and yield curve, respect

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41

Ganjbakhsh, Omid. "St[r]ategic offers in an oligopolistic electricity market under pay-as-bid pricing." Thesis, McGill University, 2008. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=112570.

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Marginal pricing is the traditional pricing method in pool based electricity markets, however pay-as-bid is an alternative that has been the focus of recent studies. One way of comparing the outcomes of these two pricing schemes is by examining their market equilibria. These equilibria have been analyzed in depth for both pricing methods under the assumption of a perfect market. Marginal pricing market equilibria has also been examined under oligopolistic markets, however, the same attention has not been given to oligopolies based on pay-as-bid pricing.<br>In this thesis, we study the possible

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42

Lin, Lebin. "Data Mining and Mathematical Models for Direct Market Campaign Optimization for Fred Meyer Jewelers." Wright State University / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=wright1483558398637535.

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Mutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.

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This thesis focuses on the non-arbitrage (fair) pricing of interest rate derivatives, in particular caplets and swaptions using the LIBOR market model (LMM) developed by Brace, Gatarek, and Musiela (1997) and Swap market model (SMM) developed Jamshidan (1997), respectively. Today, in most financial markets, interest rate derivatives are priced using the renowned Black-Scholes formula developed by Black and Scholes (1973). We present new pricing models for caplets and swaptions, which can be implemented in the financial market other than the Black-Scholes model. We theoretically construct these

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Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

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"Essays on dynamic markets with heterogeneous agents." Thesis, 2007. http://hdl.handle.net/2152/3128.

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Nezami, Narajabad Borghan 1979. "Essays on dynamic markets with heterogeneous agents." 2007. http://hdl.handle.net/2152/13315.

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"Cross market monitoring on financial markets." 2001. http://library.cuhk.edu.hk/record=b5890653.

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by Lee Yue, Wefield.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 105-111).<br>Abstracts in English and Chinese.<br>Abstract --- p.I<br>Abstract (Chinese) --- p.II<br>Acknowledgement --- p.III<br>Table of Content --- p.IV<br>List of Figures --- p.VII<br>List of Tables --- p.VIII<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Background --- p.1<br>Chapter 1.2 --- Motivation --- p.2<br>Chapter 1.3 --- Organization --- p.4<br>Chapter 2 --- Literature Review --- p.5<br>Chapter 2.1 --- Market Monitoring --- p.

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Anthropelos, Michail 1980. "Agents' agreement and partial equilibrium pricing in incomplete markets." 2008. http://hdl.handle.net/2152/18014.

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We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with non-traded random endowments, we provide necessary and sufficient conditions for the negotiation to be successful, i.e., for the trade to occur. We, also, study the asymptotic case where the size of the claim is small compared to the random endowments and give a full characterization in this case. We, then, study a partial-equilibrium problem for a bundle

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"Inventory and procurement management in the presence of spot markets." Thesis, 2009. http://library.cuhk.edu.hk/record=b6074945.

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In the first model, we study the optimal procurement strategy in a two-period framework when both the spot market and the forward contract are considered. The forward contract is agreed upon in the first period, and is then delivered in the second period, when the spot market is also available. This is followed by production and demand. The objective of the buyer is to minimize his expected cost. We study the problem for two scenarios: the buyer cannot and can sell to the spot market. Through our analysis, when the buyer can not sell to the spot market, there exists a threshold forward price,

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Goel, Ankur 1976. "Integrating commodity markets in the procurement policies for different supply chain structures." Thesis, 2007. http://hdl.handle.net/2152/3430.

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