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Dissertations / Theses on the topic 'Stochastic spread'

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Published: 3 June 2025

Last updated: 19 July 2025

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1

Luo, Yi. "Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2012. https://scholarsarchive.byu.edu/etd/3269.

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In this dissertation, we investigate the spread option pricing problem with stochastic interest rate. First, we will review the basic concept and theories of stochastic calculus, give an introduction of spread options and provide some examples of spread options in different markets. We will also review the market efficiency theory, arbitrage and assumptions that are commonly used in mathematical finance. In Chapter 3, we will review existing spread pricing models and term-structure models such as Vasicek Mode, and the Heath-Jarrow-Morton framework. In Chapter 4, we will use the martingale appr

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2

Luo, Siding. "A Stochastic Model for the spread of Pertussis." Thesis, Uppsala University, Department of Mathematics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121728.

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3

Jiang, An. "American Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2016. https://scholarsarchive.byu.edu/etd/5987.

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In financial markets, spread option is a derivative security with two underlying assets and the payoff of the spread option depends on the difference of these assets. We consider American style spread option which allows the owners to exercise it at any time before the maturity. The complexity of pricing American spread option is that the boundary of the corresponding partial differential equation which determines the option price is unknown and the model for the underlying assets is two-dimensional.In this dissertation, we incorporate the stochasticity to the interest rate and assume that it

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4

Boafo-Yirenkyi, Theophilus Harry Samuel. "Valuing credit spread options under stochastic volatility/interest rates." Thesis, London School of Economics and Political Science (University of London), 2003. http://etheses.lse.ac.uk/2124/.

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This thesis studies the pricing of credit spread options in a continuous time setting. Our main examples are credit spreads between US government bonds and highly risky emerging market bonds, such as Argentina, Brazil, Mexico, etc. Based on empirical findings we model the credit spread options as a geometric Brownian Motion with stochastic volatility. We implement and compare several one-factor stochastic volatility models, namely the Vasicek, Cox-Ingersoll-Ross and Ahn/Gao. As a stochastic model for the credit risk free interest rate, we use the Vasicek model. As a further new ingredient we i

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5

Venkatachalam, Sangeeta. "Modeling Infectious Disease Spread Using Global Stochastic Field Simulation." Thesis, University of North Texas, 2006. https://digital.library.unt.edu/ark:/67531/metadc5335/.

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Susceptibles-infectives-removals (SIR) and its derivatives are the classic mathematical models for the study of infectious diseases in epidemiology. In order to model and simulate epidemics of an infectious disease, a global stochastic field simulation paradigm (GSFS) is proposed, which incorporates geographic and demographic based interactions. The interaction measure between regions is a function of population density and geographical distance, and has been extended to include demographic and migratory constraints. The progression of diseases using GSFS is analyzed, and similar behavior to t

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6

Cairns, Andrew John George. "Epidemics in heterogeneous populations : spread, estimation and control." Thesis, Heriot-Watt University, 1990. http://hdl.handle.net/10399/893.

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7

Hong, S. G. "Pricing and hedging of spread options with stochastic component correlation." Thesis, University of Cambridge, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.604205.

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Spread options are derivatives securities with payoffs dependent on the difference of two underlying market variables. Though the importance and wide applicability of this class of instruments have long been recognised, the theoretical problem of valuing them beyond the simple Geometric Brownian motion assumption has not been successfully tackled. This thesis proposes several new methods to solve the option pricing problem under multi-factor stochastic volatility models. The correlation structure between the stochastic components generated by these models is a function of time, the diffusion p

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8

Mendy, Sang Taphou. "Quasi-stationarity of stochastic models for the spread of infectious diseases." Thesis, University of Liverpool, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507720.

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9

Xiao, Yuewen Banking &amp Finance Australian School of Business UNSW. "Transaction size and effective spread: an informational relationship." Publisher:University of New South Wales. Banking & Finance, 2008. http://handle.unsw.edu.au/1959.4/43312.

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The relationship between quantity traded and transaction costs has been one of the main focuses among financial scholars and practitioners. The purpose of this thesis is to investigate the informational relationship between these variables. Following insights and results of Milgrom (1981), Feldman (2004), and Feldman and Winer (2004), we use New York Stock Exchange (NYSE) data and kernel estimation methods to construct the distribution of one variable conditional on the other. We then study the information in these conditional distributions: the extent to which they are ordered by first order

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10

Chen, Sijin. "Asian Spread Option Pricing Models and Computation." BYU ScholarsArchive, 2010. https://scholarsarchive.byu.edu/etd/2369.

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In the commodity and energy markets, there are two kinds of risk that traders and analysts are concerned a lot about: multiple underlying risk and average price risk. Spread options, swaps and swaptions are widely used to hedge multiple underlying risks and Asian (average price) options can deal with average price risk. But when those two risks are combined together, then we need to consider Asian spread options and Asian-European spread options for hedging purposes. For an Asian or Asian-European spread call option, its payoff depends on the difference of two underlyings' average price or of

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11

Hu, Yu. "American Spread Option Models and Valuation." BYU ScholarsArchive, 2013. https://scholarsarchive.byu.edu/etd/3598.

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Spread options are derivative securities, which are written on the difference between the values of two underlying market variables. They are very important tools to hedge the correlation risk. American style spread options allow the holder to exercise the option at any time up to and including maturity. Although they are widely used to hedge and speculate in financial market, the valuation of the American spread option is very challenging. Because even under the classic assumptions that the underlying assets follow the log-normal distribution, the resulting spread doesn't have a distribution

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12

Fosser, Cecilia. "Statistical analysis of a stochastic automata model for the spread of disease among mobile individuals." Diss., The University of Arizona, 2000. http://hdl.handle.net/10150/284283.

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We present techniques that allow for the statistical identification of the infection front and for the microscopic control of macroscopic statistics in a simple stochastic lattice automata model for the spread of an infectious disease through a mobile host population. The individual based model consists of susceptible and infected individuals that are free to move about a regular lattice. These individuals interact with each other when located at the same node of the lattice, and susceptible individuals become infected with a probability of infection that is dependent on the number of infected

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13

Wilkinson, Robert. "Stochastic models for the spread of infectious diseases on finite contact networks : exact results and representations." Thesis, University of Liverpool, 2015. http://livrepository.liverpool.ac.uk/2014701/.

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Mathematical models for the spread of infectious diseases between living organisms are crucial to humanity's endeavour to understand and control its environment. The threat posed by communicable diseases is great. For example, the 1918 flu pandemic resulted in the deaths of over 50 million people and the HIV/AIDS pandemic is still under way with 2.3 million new cases in 2012. Mathematical models allow us to make predictions about the likelihood, impact and time scale of possible epidemics, and to devise effective intervention programmes, e.g. mass vaccination. This thesis considers various sto

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14

Delbracio, Mauricio. "Two problems of digital image formation : recovering the camera point spread function and boosting stochastic renderers by auto-similarity filtering." Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2013. http://tel.archives-ouvertes.fr/tel-00907900.

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This dissertation contributes to two fundamental problems of digital image formation: the modeling and estimation of the blur introduced by an optical digital camera and the fast generation of realistic synthetic images. The accurate estimation of the camera's intrinsic blur is a longstanding problem in image processing. Recent technological advances have significantly impacted on image quality. Thus improving the accuracy of calibration procedures is imperative to further push this development. The first part of this thesis presents a mathematical theory that models the physical acquisition o

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15

CALDANA, RUGGERO. "Spread and basket option pricing: an application to interconnected power markets." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2012. http://hdl.handle.net/10281/39422.

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An interconnector is an asset that gives the owner the right, but not the obligation, to transmit electricity between two locations each hour of the day over a prefixed time period. The financial value of the interconnector is given by a series of options that are written on the price differential between two electricity markets, that is, a strip of European options on an hourly spread. Since the hourly forward price is not directly observable on the market, Chapter 1 proposes a practical procedure to build an hourly forward price curve, fitting both base load and peak load forward quotations.

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16

Albosaily, Sahar. "Stratégies optimales d'investissement et de consommation pour des marchés financiers de type"spread"." Thesis, Normandie, 2018. http://www.theses.fr/2018NORMR099/document.

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Dans cette thèse, on étudie le problème de la consommation et de l’investissement pour le marché financier de "spread" (différence entre deux actifs) défini par le processus Ornstein-Uhlenbeck (OU). Ce manuscrit se compose de sept chapitres. Le chapitre 1 présente une revue générale de la littérature et un bref résumé des principaux résultats obtenus dans cetravail où différentes fonctions d’utilité sont considérées. Dans le chapitre 2, on étudie la stratégie optimale de consommation / investissement pour les fonctions puissances d’utilité pour un intervalle de temps réduit a 0 < t < T &

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17

Bladyko, Daniil. "Rychlá Fourierova transformace a její využití při oceňování evropských spreadových opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-360565.

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This master thesis should provide reader with an overview of the European spread options evaluation using the fast Fourier transform numerical method. The first and second part of the thesis deal with the theoretical foundations of Fourier analysis and existing approaches of spread option valuation under two and three-factors frameworks (namely GBM - geometric Brown motion and SV - stochastic volatility). The third part describes extention of Hurd-Zhou (2010) valuation method by tool for call and put spread options pricing in case of negative or zero strikes. Extension will be compared with Mo

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18

Bedini, Matteo. "Information on a default time : Brownian bridges on a stochastic intervals and enlargement of filtrations." Thesis, Brest, 2012. http://www.theses.fr/2012BRES0032.

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Dans ce travail de thèse le processus d'information concernant un instant de défaut τ dans un modèle de risque de crédit est décrit par un pont brownien sur l'intervalle stochastique [0, τ]. Un tel processus de pont est caractérisé comme plus adapté dans la modélisation que le modèle classique considérant l'indicatrice I[0,τ]. Après l'étude des formules de Bayes associées, cette approche de modélisation de l'information concernant le temps de défaut est reliée avec d'autres informations sur le marché financier. Ceci est fait à l'aide de la théorie du grossissement de filtration, où la filtrati

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19

Tang, Ke. "Stochastic behaviour of commodity prices and spreads with applications." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612453.

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20

Scotti, Simone. "Applications of the error theory using Dirichlet forms." Phd thesis, Université Paris-Est, 2008. http://tel.archives-ouvertes.fr/tel-00349241.

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This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying un

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21

Noh, Dongwon. "A stochastic approach towards large eddy simulation of methanol/air spray flames." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/31386.

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The present work attempts to conduct numerical simulations of turbulent two-phase flows in two academic burners with methanol/air spray flames. It is challenging to simulate turbulent spray flames as many complex phenomena such as turbulence-chemistry interaction, spray dispersion and evaporation, and atomisation processes of liquid fuel occur simultaneously. The transported sub-grid scale (sgs) probability density function (pdf) equation in conjunction with the Eulerian stochastic field method formulated in the context of Large Eddy Simulation (LES) is applied to the experimental configuratio

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22

Singh, Abhinandan Kumar [Verfasser], and Evangelos [Gutachter] Tsotsas. "Morphology based stochastic simulation of spray fluidized bed agglomeration / Abhinandan Kumar Singh ; Gutachter: Evangelos Tsotsas." Magdeburg : Universitätsbibliothek Otto-von-Guericke-Universität, 2021. http://d-nb.info/1232911569/34.

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23

Oumouni, Mestapha. "Analyse numérique de méthodes performantes pour les EDP stochastiques modélisant l'écoulement et le transport en milieux poreux." Phd thesis, Université Rennes 1, 2013. http://tel.archives-ouvertes.fr/tel-00904512.

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Ce travail présente un développement et une analyse des approches numériques déterministes et probabilistes efficaces pour les équations aux dérivées partielles avec des coefficients et données aléatoires. On s'intéresse au problème d'écoulement stationnaire avec des données aléatoires. Une méthode de projection dans le cas unidimensionnel est présentée, permettant de calculer efficacement la moyenne de la solution. Nous utilisons la méthode de collocation anisotrope des grilles clairsemées. D'abord, un indicateur de l'erreur satisfaisant une borne supérieure de l'erreur est introduit, il perm

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24

Yu, Fujiang [Verfasser]. "Numerical Studies of Nuclear Containment Spray Process by Stochastic Field Method and CGCFD approach / Fujiang Yu." Karlsruhe : KIT-Bibliothek, 2020. http://d-nb.info/1216949441/34.

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25

Oruganti, Surya Kaundinya. "Stochastic models on residual scales in LES of sprays in diesel-like conditions : spray formation, turbulent dispersion and evaporation of droplets." Thesis, Lyon, 2020. http://www.theses.fr/2020LYSEC042.

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Dans le cadre de la simulation à grandes échelles (LES), la thèse aborde la simulation des sprays dans les conditions d’un moteur à injection directe. La vitesse de l’injection des sprays dans ces conditions est très élevée. En conséquence, des structures énergétiques intermittentes aux petites échelles turbulentes peuvent se manifester dans l’écoulement produit. C’est pourquoi l’accent est mis sur la simulation stochastique des effets turbulents aux échelles non-résolues par LES dans les conditions d’un moteur à injection directe. L’impact de ces effets sur l’atomisation primaire et secondair

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26

Deng, Tian. "LES combined with statistical models of spray formation closely to air-blast atomizer." Thesis, Ecully, Ecole centrale de Lyon, 2011. http://www.theses.fr/2011ECDL0037/document.

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Cette thèse présente une extension de l'approche stochastique de l'atomisation primaire de type air assisté près d'un injecteur. Cette approche avait déjà été introduite dans les publications de Gorokhovski et al. Dans le cadre de la simulation des grandes échelles, la zone d'atomisation primaire est simulée comme un corps immergé avec une structure stochastique. Ce dernier est défini par la simulation stochastique de la position et de la courbure de l'interface entre le liquide et le gaz. La simulation de la position de l'interface est basée sur l'hypothèse de symétrie d'échelle pour la fragm

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27

Chiu, Chung-Cheng, and 邱崇誠. "A Pricing Model for Credit Spread Option with Stochastic Volatility." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/37697642450656423403.

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碩士<br>國立高雄第一科技大學<br>金融研究所<br>100<br>This paper refers to Duffie and Singleton (1995) to value the Credit Spread Options. We further incorporate stochastic volatility into the model to capture the structure of hazard rate. Through the Monte Carlo Simulation, we obtain the price of Credit Spread Option and compare to the other models. The results show that the price of the commodity would be underestimated without considering the volatility degrees of hazard rate. Besides, there would be a jump for the price of asset if we take the credit risk into consideration and it may make an asymmetric cha

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28

Dickinson, Rowland Ernest. "Exact solution to the stochastic spread of social contagion - using rumours." Thesis, 2008. http://hdl.handle.net/2440/48353.

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This Thesis expands on the current developments of the theory of stochastic diffusion processes of rumours. This is done by advancing the current mathematical characterisation of the solution to the Daley-Kendall model of the simple S-I-R rumour to a physical solution of the sub-population distribution over time of the generalised simple stochastic spreading process in social situations. After discussing stochastic spreading processes in social situations such as the simple epidemic, the simple rumour, the spread of innovations and ad hoc communications networks, it uses the three sub-populati

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Dickinson, Rowland Ernest. "Exact solution to the stochastic spread of social contagion - using rumours." 2008. http://hdl.handle.net/2440/48353.

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This Thesis expands on the current developments of the theory of stochastic diffusion processes of rumours. This is done by advancing the current mathematical characterisation of the solution to the Daley-Kendall model of the simple S-I-R rumour to a physical solution of the sub-population distribution over time of the generalised simple stochastic spreading process in social situations. After discussing stochastic spreading processes in social situations such as the simple epidemic, the simple rumour, the spread of innovations and ad hoc communications networks, it uses the three sub-populati

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30

Dórea, Fernanda C. "Stochastic risk model of highly pathogenic avian influenza spread and impact of biosecurity protocols." 2009. http://purl.galileo.usg.edu/uga%5Fetd/dorea%5Ffernanda%5Fc%5F200908%5Fms.

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31

Lutz, Matthias [Verfasser]. "Libor market models with stochastic volatility and CMS spread option pricing / vorgelegt von Matthias Lutz." 2011. http://d-nb.info/1012989801/34.

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32

Ahmad, Saira. "A Genetic Algorithm Approach to Exploring Simulation Parameters." Thesis, 2012. http://hdl.handle.net/10214/3996.

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Simulation of animal disease spread is essential for understanding and controlling the outbreak of disease among herds of livestock (in particular cattle and poultry). Using a computerized system or simulator, animal health professionals or epidemiologists often spend many hours determining the set of input parameters that most accurately represent a disease spread or an outbreak scenario. A parameter can be a simple boolean value, or a scientific or often hypothetically derived range of real numbers. Many times, an epidemiologist chooses a value provisionally in a random fashion and repeats t

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33

"Computational models of signaling processes in cells with applications: Influence of stochastic and spatial effects." Thesis, 2012. http://hdl.handle.net/1911/70209.

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The usual approach to the study of signaling pathways in biological systems is to assume that high numbers of cells and of perfectly mixed molecules within cells are involved. To study the temporal evolution of the system averaged over the cell population, ordinary differential equations are usually used. However, this approach has been shown to be inadequate if few copies of molecules and/or cells are present. In such situation, a stochastic or a hybrid stochastic/deterministic approach needs to be used. Moreover, considering a perfectly mixed system in cases where spatial effects are present

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34

Odigie, Daniel. "The investigation of fire hazards in buildings using stochastic modelling." Thesis, 2000. https://vuir.vu.edu.au/15658/.

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This research investigates the spread of fire and smoke in buildings as well as occupant egress. There are existing deterministic models for these. While deterministic models provide averages of a process, stochastic models give the broad spectrum of all possible scenarios of the process giving the distribution function. The spread of smoke was first modelled by adding a noise component to the equation of an existing deterministic model. Later a deterministic model was developed and stochastic expressions derived using the Markov chain methodology. Though the Markov chain is a discrete proce

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35

Menjivar, Liliana. "A metapopulation model for mass gatherings Application: global travel, Hajj and the spread of measles." 2013. http://hdl.handle.net/1993/22178.

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Mass gatherings stress local and global health care systems as they bring together individuals from all over the world that have very different health conditions. We firstly provide an overview of the concepts and results of mathematical epidemiology and public health. Secondly, we present an introduction to the mathematical modelling of measles using deterministic and stochastic approaches for both single and multiple populations. Lastly, we develop a model for mass gatherings and present an application to measles during the Hajj by studying an SIR deterministic metapopulation model with resi

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Kabunga, Selain Kasereka. "Towards hybrid stochastic modeling and simulation of complex systems in multi-scale environments with case studies on the spread of tuberculosis in Democratic Republic of the Congo." Thesis, 2020. http://hdl.handle.net/10500/26845.

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Abstract in English<br>Mathematical modeling of the spread of infectious diseases in a population has always been recognized as a powerful tool that can help decision-makers understand how a disease evolves over time. With the evolution of science and humanity, it has become evident that Mathematical models are too simplistic and have some limitations in modeling environmental phenomena, such as the spread of epidemics in a population, when they are applied without combining them with other sciences. In understanding the dynamics of epidemics in a population, the weakness of these models is t

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37

CHANG-YI, YEH, and 葉昶邑. "Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/17359625307511887195.

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碩士<br>東海大學<br>數學系<br>93<br>This thesis is based on the Markov model , which is proposed by Jarrow , Lando , and Turnbull in 1997. We use the risk premium proposed by Kijima and Komoribayashi in 1998. And use the method proposed by Kodera in 2001 to increase a nonnegative random variable for the transition matrix to improve the behavior of credit spread . Finally, we do some empirical studies.

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Shan, Yanguang. "A stochastic spray model for radio frequency inductively coupled plasmas." 2004. http://link.library.utoronto.ca/eir/EIRdetail.cfm?Resources__ID=80305&T=F.

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De, Santanu. "Modeling And Computation Of Turbulent Nonreacting And Reacting Sprays." Thesis, 2011. https://etd.iisc.ac.in/handle/2005/2379.

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Numerical modeling of several turbulent nonreacting and reacting spray jets is carried out using a fully stochastic separated flow (FSSF) approach. As is widely used, the carrier-phase is considered in an Eulerian framework, while the dispersed phase is tracked in a Lagrangian framework following the stochastic separated flow (SSF) model. Various interactions between the two phases are taken into account by means of two-way coupling. Spray evaporation is described using a thermal model with an infinite conductivity in the liquid phase. The gas-phase turbulence terms are closed using the k-� mo

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De, Santanu. "Modeling And Computation Of Turbulent Nonreacting And Reacting Sprays." Thesis, 2011. http://etd.iisc.ernet.in/handle/2005/2379.

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Numerical modeling of several turbulent nonreacting and reacting spray jets is carried out using a fully stochastic separated flow (FSSF) approach. As is widely used, the carrier-phase is considered in an Eulerian framework, while the dispersed phase is tracked in a Lagrangian framework following the stochastic separated flow (SSF) model. Various interactions between the two phases are taken into account by means of two-way coupling. Spray evaporation is described using a thermal model with an infinite conductivity in the liquid phase. The gas-phase turbulence terms are closed using the k-� mo

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