Relevant bibliographies by topics / Stochastische processen

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  1. Dissertations / Theses

Academic literature on the topic 'Stochastische processen'

Author: Grafiati
Published: 4 June 2021
Last updated: 29 July 2024

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Dissertations / Theses on the topic "Stochastische processen"

1

Kluge, Tino. "Illustration of stochastic processes and the finite difference method in finance." Universitätsbibliothek Chemnitz, 2003. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300079.

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The presentation shows sample paths of stochastic processes in form of animations. Those stochastic procsses are usually used to model financial quantities like exchange rates, interest rates and stock prices. In the second part the solution of the Black-Scholes PDE using the finite difference method is illustrated<br>Der Vortrag zeigt Animationen von Realisierungen stochstischer Prozesse, die zur Modellierung von Groessen im Finanzbereich haeufig verwendet werden (z.B. Wechselkurse, Zinskurse, Aktienkurse). Im zweiten Teil wird die Loesung der Black-Scholes Partiellen Differentialgleichung mittels Finitem Differenzenverfahren graphisch veranschaulicht
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2

Heil, Robert. "Optimization of anesthetic processes in operating rooms /." Aachen : Shaker, 2009. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=017612725&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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3

Heil, Robert. "Optimization of anesthetic processes in operating rooms." Aachen Shaker, 2008. http://d-nb.info/993876064/04.

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4

Häfner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin ; New York : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.

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5

Lüders, Erik. "Economic foundation of asset price processes /." Heidelberg : Physica, 2004. http://aleph.unisg.ch/hsgscan/hm00119185.pdf.

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6

Lovász, Enrico. "Modellierung stochastischer Mortalitätsraten zur Verbriefung von Langlebigkeitsrisiken." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-81666.

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In der Arbeit wird die Verbriefung von Mortalitätsrisiken mit dem Schwerpunkt der Modellierung des Langlebigkeitsrisikos bei Extremereignissen analysiert. Nach dem Aufzeigen der Vor- und Nachteile bereits existierender Wertpapiere für Mortalitätsrisiken wird der in dieser Arbeit verwendete hypothetische Langlebigkeitsbond präsentiert. Zentraler Bestandteil dieser Anleihe ist ein parametrisches Modell mit einem Sprungprozess und der Extremwerttheorie für die Berechnung zukünftiger Sterblichkeitsraten. Dieser Ansatz der Verbriefung von Mortalitätsrisiken ist neu. Es bietet die Vorteile die Steigerung der Überlebenswahrscheinlichkeit der vergangenen Jahre besser zu erfassen und seltene (extreme) Ereignisse, welche signifikante Auswirkungen auf die Sterberaten haben, zu berücksichtigen.
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7

Kraft, Holger. "Optimal portfolios with stochastic interest rates and defaultable assets /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004103617-d.html.

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8

Schiemert, Daniel. "Stochastic differential equations driven by Gaussian processes with dependent increments and related market models with memory." [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:bsz:93-opus-30217.

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9

Zaikin, Alexei. "Noise induced transitions and resonant effects in nonlinear systems." Thesis, [S.l. : s.n.], 2002. http://pub.ub.uni-potsdam.de/2003/0017/zaikin.pdf.

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10

Hollender, Julian. "Lévy-Type Processes under Uncertainty and Related Nonlocal Equations." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-211795.

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The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields — often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Lévy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms.
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