256 research outputs found
Wake me up before you GO-GARCH
No full textIn this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in largerdimensional systems, where a full likelihood optimization is often infeasible. The eï¬~@ectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.
Pricing Methods in a LIBOR Market Model with Stochastic Volatility
No full textDIAMElectrical Engineering, Mathematics and Computer Scienc
Het Ho-Lee rentemodel
No full textHet verslag legt het rentemodel van Ho en Lee uit en bekijkt verschillende eigenschappen van dit model, waaronder het arbitragevrij zijn en de kalibratie van het model.Technische WiskundeMathematicsElectrical Engineering, Mathematics and Computer Scienc
Pricing Barrier Options in Discrete Time
No full textThis bachelor thesis deals with pricing options and specifically barrier options in discrete time. A special form of barrier options called ‘Parisian options’ will be treated in detail. A binomial tree is used to model possible developments of the price of the underlying. By using so-called risk-neutral probabilities it is possible to view the option price as an expectation. The binomial coefficient is used to calculate the amount of different paths ending in the same node. In the case of barrier options this becomes more complicated but a relatively easy formula that replaces the binomial coefficient can be found. For Parisian options it is not possible to find a direct formula and instead we must use a recursive algorithm.Financial MathematicsProbability TheoryElectrical Engineering, Mathematics and Computer Scienc
Dynamic Portfolio Choice: A Simulation Approach with an Application to Multiple Assets
No full textKansrekening & StatistiekApplied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Validating a short term financial risk model
No full textThis thesis project considers validation methods for an existing solvency model for pension funds. The solvency model produces forecasts about the development of financial markets, fund investments, liabilities and, most important, the solvency of the fund. Since the model is a stochastic model, statistical inference is used to compare model outcomes with realized quantities. Several known methods are studied and described in this thesis to execute this model validation. These methods are applied on the solvency model. A testing procedure of risk driver forecasts is implemented and evaluated. Since a lot of data is needed to get a reliable outcome of the validation process, more data from inside th e model must be used and combined to get a better risk model.ProbabilityApplied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Discounters: Risicovol of Risicoloos?
No full textDe Royal Bank of Scotland, RBS, heeft in 2010 een nieuw product op de markt gebracht, de Discounter. De Discounter is een aandeel dat je aankoopt met korting. Door de korting is er een plafond vastgelegd op de waarde van je product. Eigenlijk is het een samenstelling van opties. In mijn verslag lees je hoe de Discounter werkt, hoe je zijn waarde vaststelt en hoe je een Discounter zelf kunt nabootsen.Applied mathematicsElectrical Engineering, Mathematics and Computer Scienc
Towards a socio-economic model for Southwest Asian cereal domestication
No full textMechanisms of selection for domestication traits in cereals and other annual plants are commonly explained from agro-technological and genetic perspectives. Since archaeobotanical data showed that domestication processes were slow and protracted, research focused on genetic constraints and hypothetical ‘non-selective’ management regimes to explain the low selection rates. I argue that these factors only partially explain the observed patterns and develop a model that contextualises the archaeobotanical data in their socio-economic settings. I propose that developments towards individual storage by small household units and the gradual increase in storage capacities with the development of extended households represent key factors for establishing the conditions for selection, as these practices isolated individually managed and stored cereal subpopulations and gradually reduced the need to replenish grain stocks with grains from unmanaged populations. This genetic isolation resulted in stronger and more persistent selection rates and facilitated the genetic fixation of domestication traits on a population level. Moreover, individual storage facilities within buildings reflect gradual developments towards households as the social units that mobilised agricultural labour, which negotiated new sharing principles over cultivated resources and drove the intensification of cultivation practices. In this sense, selection rates and the slow domestication process can be understood as a function of limited food sharing networks and increased labour-inputs into early arable environments—socio-economic processes that also unfolded gradually over a protracted period of time
AEX-Sparen: A combination of saving and investing
No full textA report about AEX-Sparen, a savingsaccount with variable interest for custumers.Applied MathematicsProbability theoryElectrical Engineering, Mathematics and Computer Scienc
- …
