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Bibliografias temáticas / Conditioned geometric Brownian motion

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Teses / dissertações

Literatura científica selecionada sobre o tema "Conditioned geometric Brownian motion"

Autor: Grafiati

Publicado: 10 de setembro de 2021

Última modificação: 14 de fevereiro de 2022

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Teses / dissertações sobre o assunto "Conditioned geometric Brownian motion"

1

Carvalho, João Pereira. "Portfolio insurance strategies : an analysis of path dependencies." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/5893.

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Mestrado em Ciências Empresariais<br>This thesis makes an evaluation of the path-dependency/independency of the most widespread Portfolio Insurance strategies, i.e. CPPI, OBPI and SLPI, using Monte Carlo simulations. Also, it is known that for the CPPI with multiplier higher than 1, an undesirable path-dependent behavior called ‘cash-lock’, can occur in some market scenarios. But in what scenarios and how often? In this thesis we show on an empirical level, that for most of the chosen market scenarios, CPPI 3 and CPPI 5 strategies can in fact get cash-locked easily. This is a rather undesi

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2

Lidén, Joel. "Stock Price Predictions using a Geometric Brownian Motion." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353586.

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3

Erven, Matthias [Verfasser]. "On the Lifetime of a Conditioned Brownian Motion / Matthias Erven." München : Verlag Dr. Hut, 2012. http://d-nb.info/1020298936/34.

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4

Tanner, Stephen. "Non-tangential and conditioned Brownian convergence of pluriharmonic functions /." Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/5729.

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5

Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

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<p>This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the&nbsp<br>Geometric Brownian motion in finance, namely the stationa

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6

Erven, Matthias [Verfasser], G. [Akademischer Betreuer] Sweers, and B. [Akademischer Betreuer] Kawohl. "On the Lifetime of a Conditioned Brownian Motion / Matthias Erven. Gutachter: G. Sweers ; B. Kawohl." Köln : Universitäts- und Stadtbibliothek Köln, 2011. http://d-nb.info/1038170036/34.

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7

Geiss, Stefan. "On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/1774/1/document.pdf.

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We approximate stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used. This corresponds to the approximation of a continuously adjusted portfolio by a discretely adjusted one. We compute the approximation orders of European Options in the Black Scholes model with respect to L_2 and the approximation order of the standard European-Call and Put Option with respect to an appropriate BMO space, which gives information about the cost process of the discretely adj

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8

Feng, Zijie. "Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market." Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78375.

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As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. Since logarithmic-return densities of GFBM stock prices are Gaussian and empirical stock logarithmic-returns typically are far from Gaussian, a GFBM model may not be the most suitable stock price model.

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9

Vardar, Ceren. "On the Correlation of Maximum Loss and Maximum Gain of Stock Price Processes." Bowling Green State University / OhioLINK, 2008. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1224274306.

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10

MOSZKOWICZ, VIKTOR NIGRI. "VALIDATION OF THE PROJECT VALUATION CRITERION USING THE REAL OPTIONS THEORY: BRAZILIAN OIL FIELDS E AND P, CONSIDERING PRICES AS GEOMETRIC BROWNIAN MOTION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3592@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>As vantagens de incluir a flexibilidade gerencial e a analogia às opções financeiras nos critérios de avaliação de projetos têm sido alvo de discussões teóricas no ramo das finanças. Diversos autores criticam os métodos de análise de investimentos utilizados correntemente, que têm como principal representante o fluxo de caixa descontado (FCD), apoiando-se na noção de que os gerentes ao tomarem decisões devem utilizar técnicas que reflitam as flexibilidades disponíveis. Nesse sentido, a presente dissertação tem por finalida

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