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Teses / dissertações 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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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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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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11

Brodd, Tobias, and Adrian Djerf. "Monte Carlo Simulations of Stock Prices : Modelling the probability of future stock returns." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229752.

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The financial market is a stochastic and complex system that is challenging to model. It is crucial for investors to be able to model the probability of possible outcomes of financial investments and financing decisions in order to produce fruitful and productive investments. This study investigates how Monte Carlo simulations of random walks can be used to model the probability of future stock returns and how the simulations can be improved in order to provide better accuracy. The implemented method uses a mathematical model called Geometric Brownian Motion (GBM) in order to simulate stock pr
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12

Londani, Mukhethwa. "Numerical Methods for Mathematical Models on Warrant Pricing." University of the Western Cape, 2010. http://hdl.handle.net/11394/8210.

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>Magister Scientiae - MSc<br>Warrant pricing has become very crucial in the present market scenario. See, for example, M. Hanke and K. Potzelberger, Consistent pricing of warrants and traded options, Review Financial Economics 11(1) (2002) 63-77 where the authors indicate that warrants issuance affects the stock price process of the issuing company. This change in the stock price process leads to subsequent changes in the prices of options written on the issuing company's stocks. Another notable work is W.G. Zhang, W.L. Xiao and C.X. He, Equity warrant pricing model under Fractional Brownian m
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13

Siu, Daniel. "Stochastic Hybrid Dynamic Systems: Modeling, Estimation and Simulation." Scholar Commons, 2012. http://scholarcommons.usf.edu/etd/4405.

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Stochastic hybrid dynamic systems that incorporate both continuous and discrete dynamics have been an area of great interest over the recent years. In view of applications, stochastic hybrid dynamic systems have been employed to diverse fields of studies, such as communication networks, air traffic management, and insurance risk models. The aim of the present study is to investigate properties of some classes of stochastic hybrid dynamic systems. The class of stochastic hybrid dynamic systems investigated has random jumps driven by a non-homogeneous Poisson process and deterministic jumps trig
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14

Wu, Cheng-Hsun, and 吳政訓. "A generalization of geometric Brownian motion with applications." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/52678500671397304971.

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博士<br>國立中央大學<br>數學研究所<br>97<br>Brownian motion is a rigorous mathematical model (Wiener (1923), Levy (1948), Ciesielski (1961)) with fruitful applications ranging from biology (Brown (1827)), physics (Einstein (1905), Mazo (2002)), economy and financial engineering (Bachelier (1900), Black and Scholes (1973)), to stochastic calculus (Ito (1944)), among others. Functional of Brownian motion is also useful in stochastic modeling. This is particularly true for geometric Brownian motion. For instance, it has been applied to model prices of stock (page 365 in Karlin and Taylor (1975), Black and Sch
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15

Ya-HungLu and 盧亞鴻. "Estimation of a Bivariate Geometric Brownian Motion with Change-points." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/52888091028452490683.

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碩士<br>國立成功大學<br>統計學系碩博士班<br>98<br>Bivariate geometric Brownian motion is widely used in modeling bavariate correlated economical data. Based on this model, the task of detecting change-points is considered. A likelihood-based approach for estimating the positions of change-points and a testing procedure for testing which parameter in the process is changed after the estimated change-point are proposed. In addition, both known and unknown the number of change-points are considered. Finally, gold and crede-oil (Brent crude) data are analyzed to illustrate the proposed method. Numerical results s
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16

Lai, Chin-chen, and 賴沁蓁. "Dollar Cost Averaging and Value Averaging under Geometric Brownian Motion Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/97077430337382135320.

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碩士<br>國立成功大學<br>統計學系碩博士班<br>97<br>This thesis studies the dollar-cost averaging and the value averaging. We use the internal rate of return to compare these two investment strategies. Assuming a geometric Brownian motion for stock prices, we use Monte Carlo technique to study the dollar-cost averaging and the value averaging under various settings of market price volatilities, investment time horizons, amount change , and market trend. A comparison of the results on Monte Carlo simulation and empirical Taiwan stock index was made. Simulation dictates that with larger price volatility, the val
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17

Tsai, Ming-Jhih, and 蔡明志. "Geometric Brownian Motion with multiplicative Jumps and its application to Derivatives Evaluation." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/10208774416012141486.

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碩士<br>國立成功大學<br>統計學系碩博士班<br>93<br>The purpose of this study was to examine the model of geometric Brownian motion with multiplicative jumps. An iterative procedure was proposed to detect the jumps which follow a Poisson process with rate of intensityλ. The maximum likelihood method was used to estimate the parameterλ and the jump size. The algorithm of this iterative procedure was implemented in Matlab. The theoretical Black-Scholes, the market, and the simulated option prices were obtained through the investigation of a Taiwanese empirical study. The inclusion of the jump in the GBM resulted
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18

Osborne, Bryan A. 1980. "Geometric brownian motion modeling of the Houston-Galveston nitrous oxide cap and trade market." Thesis, 2009. http://hdl.handle.net/2152/ETD-UT-2009-12-560.

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Texas’ Mass Emission Cap and Trade program is a mandatory Nitrous Oxide (NOx) abatement program for medium and large stationary sources located in the Houston-Galveston ozone non-attainment area. Effected companies are required to upgrade equipment to meet the current best achievable NOx control technology (BACT) standards or to purchase emission credits in sufficient quantity to cover the difference in emissions between existing equipment and equipment meeting the BACT standard. With over 260 participating companies, the market for emission credits is ever changing, making it difficult to e
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19

Hsue, Pei-Shan, and 徐珮珊. "Value-at-Risk Evaluation in Stock Price-A Comparison between Extended Ohlson Model and Geometric Brownian Motion Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/42730979032342347888.

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碩士<br>中原大學<br>國際貿易研究所<br>96<br>In his equity valuation model, Ohlson (1995) shows that stock price can be expressed as the summation of abnormal earnings, book value, and non-accounting information. However, numbers shown in financial statement (such as abnormal earnings and book value) can only provide a limited measure of stock price, because they do not reflect other important information about firms’ fundamentals. Especially, Ohlson did not define the non-accounting information very clearly, so this thesis first revises Ohlson equity valuation model by replacing his “non-accounting informa
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20

Svoboda, Miroslav. "Asijské perpetuity." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-415941.

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This Master thesis studies Asian perpetuities, which is a term standing for European type of options with an average asset as the underlying asset and the execution time of the option in infinity. Assuming Geometric Brownian motion model of price of an asset, the goal of this thesis is to study behavior of the average of the asset price. Three different types of averaging are considered: arithmetic, geometric and harmonic average. The average values of the log-normals maintain the known distribution only for the geometric average. As it is shown in the thesis; however, when the average is exam
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21

Ribeiro, Maria Madalena Rodrigues. "Avaliação de opções americanas via simulação de Monte Carlo." Master's thesis, 2010. http://hdl.handle.net/10451/8598.

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Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2010<br>Esta tese foca-se no estudo da avaliação de opções americanas via método dos mínimos quadrados de Monte Carlo [Least Square Monte Carlo (LSM)] de Longstaff-Schwartz (2001), que consiste na avaliação de opções americanas através de simulações e de regressões simples. Para efectuar o estudo implementou-se o algoritmo do referido método, em MatLab. Para um estudo mais aprofundado e comparativo, implementou-se o método utilizando diversos modelos, nomeadamente o modelo CEV, o
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22

Klůjová, Jana. "Stínové ceny a řízení portfolia s proporcionálními transakčními náklady." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-321391.

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The diploma thesis describes portfolio management with proportional transaction costs. The main aim is to describe using of shadow prices to find the optimal Markov policies keeping the proportion of the investor's wealth invested in the risky asset within the corresponding interval in order to maximize the long run geometric growth rate. On the real market, the investor must pay transaction costs when he buys/sells shares. In the diploma thesis we transform these prices into the shadow price; when trading in the shadow price there are no transaction costs. The solution itself is based on Itô
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23

Ferreira, Paulo Fernando Marques. "Evaluating investment opportunities under different model dynamics: Some managerial insights." Master's thesis, 2012. http://hdl.handle.net/10071/6397.

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The Net Present Value is the most well known measure of project valuation for managers. However it requires an investment decision made in the moment as well as the cash outflow of the investment. However, a manager has different levels of flexibility in the exercise of his functions that the classic Net Present Value valuation does not take in account. An investment can be delayed to a pre-committed date, can have the decision delayed by a certain or an endlessly period of time, and can be reverted. Despite not applicable to all parameters, the numerical analysis made in this thesis has a pre
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24

Mudzimbabwe, Walter. "Pricing methods for Asian options." Thesis, 2010. http://hdl.handle.net/11394/3468.

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>Magister Scientiae - MSc<br>We present various methods of pricing Asian options. The methods include Monte Carlo simulations designed using control and antithetic variates, numerical solution of partial differential equation and using lower bounds.The price of the Asian option is known to be a certain risk-neutral expectation. Using the Feynman-Kac theorem, we deduce that the problem of determining the expectation implies solving a linear parabolic partial differential equation. This partial differential equation does not admit explicit solutions due to the fact that the distribution of a sum
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Macháček, Adam. "Oceňování bariérových opcí." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-321410.

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In the presented thesis we study three methods of pricing European currency barrier options. With help of these methods we value selected barrier options with underlying asset EUR/CZK. In the first chapter we introduce the basic definitions from the world of financial derivatives and we describe our data. In the second chapter we deal with the classical model based on geometric Brownian motion of underlying asset and we prove a theorem of valuating Up-In-barrier option in this model. In the third chapter we introduce a model with stochastic volatility, the Heston model. We calibrate this model
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26

Myšičková, Ivana. "Odhad rizika v měsíčním horizontu na základě dvouleté časové řady." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-335066.

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The thesis describes commonly used measures of risk, such as volatility, Value at Risk (VaR) and Expected Shortfall (ES), and is tasked with creating models for measuring market risk. It is concerned with the risk over daily and over monthly horizons and shows the shortcomings of a square-root-of-time approach for converting VaR and ES between horizons. Parametric models, geometric Brownian motion (GBM) and GARCH process, and non-parametric models, historical simulation (HS) and some its possible improvements, are presented. The application of these mentioned models is demonstrated using
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27

Miranda, Guilherme Donário. "On the application of structural credit risk models to sovereign issuers." Master's thesis, 2018. http://hdl.handle.net/10400.14/25494.

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This dissertation uses CDS spreads to extract the probability of default of the Portuguese sovereign using a structural credit risk model. The model considered assumes that the government revenue follows a geometric Brownian motion. In addition, the government is assumed to have fixed costs corresponding to its total expenditure. The sovereign defaults at the first time its revenue falls below a certain level, which is estimated in this thesis as a multiple of the government debt. Under the assumption of a 40% recovery rate, estimates on the 5-year probability of default were extracted. This w
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28

Bukhari, Abdulwahab Abdullatif. "Optimization of production allocation under price uncertainty : relating price model assumptions to decisions." Thesis, 2011. http://hdl.handle.net/2152/ETD-UT-2011-08-3780.

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Allocating production volumes across a portfolio of producing assets is a complex optimization problem. Each producing asset possesses different technical attributes (e.g. crude type), facility constraints, and costs. In addition, there are corporate objectives and constraints (e.g. contract delivery requirements). While complex, such a problem can be specified and solved using conventional deterministic optimization methods. However, there is often uncertainty in many of the inputs, and in these cases the appropriate approach is neither obvious nor straightforward. One of the major uncertaint
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El-Khatib, Mayar. "Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement." Thesis, 2010. http://hdl.handle.net/10012/5741.

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While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extens
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