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KMU-Finanzierung mit Mezzanine-Kapital Produktgestaltung und Prozesse /Stettler, Matthias. January 2006 (has links) (PDF)
Bachelor-Arbeit Univ. St. Gallen, 2006.
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Symmetriereduktionen und explizite Lösungen für ein nichtlineares Modell eines Preisbildungsprozesses in illiquiden MärktenChmakova, Alina Y. Unknown Date (has links) (PDF)
Techn. Universiẗat, Diss., 2005--Cottbus.
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Konvergenzbeschleunigung für Binomialmethoden zur Bewertung von BarriereoptionenIlzig, Katrin, Starkloff, Hans-Jörg, Wunderlich, Ralf 26 August 2004 (has links)
Für die Bewertung zahlreicher Barriereoptionen stehen keine analytischen Preisformeln
zur Verfügung. Ein mögliches Näherungsverfahren, welches für die Bepreisung
eingesetzt werden kann, ist das Binomialmodell. Dieser Artikel analysiert die
bei der binomialen Bewertung von Barriereoptionen auftretende Sägezahnkonvergenz.
Es werden vier Verfahren mit verbesserten Konvergenzverhalten beschrieben.
Dabei stellt sich heraus, daß durch alle betrachteten Verfahren eine deutliche Konvergenzbeschleunigung
erreicht werden kann. Numerische Beispiele illustrieren die
vorgestellten Verfahren.
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A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial AssetsKrämer, Romy, Richter, Matthias 19 May 2008 (has links) (PDF)
In this paper, we study mathematical properties of a generalized bivariate
Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and
Wang, this model possesses a stochastic drift term which influences the statistical
properties of the asset in the real (observable) world. Furthermore, we generali-
ze the model with respect to a time-dependent (but still non-random) volatility
function.
Although it is well-known, that drift terms - under weak regularity conditions -
do not affect the behaviour of the asset in the risk-neutral world and consequently
the Black-Scholes option pricing formula holds true, it makes sense to point out
that these regularity conditions are fulfilled in the present model and that option
pricing can be treated in analogy to the Black-Scholes case.
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Pricing in (in)complete markets : structural analysis and applications /Esser, Angelika, January 1900 (has links)
Originally presented as the author's thesis (Ph.D. - Goethe-University, Frankfurt am Main) titled "Pricing in (in)complete markets : structural analysis and applications," May 2003. / Includes bibliographical references (p. [105]-107) and index.
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Empirischer Vergleich von Optionspreismodellen auf Basis zeitdeformierter Lévy-Prozesse : Kalibrierung, Hedging, Modellrisiko /Dahlbokum, Achim. January 2008 (has links) (PDF)
Universiẗat, Diss--Köln, 2007.
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Energy-related commodity futures - statistics, models and derivativesBörger, Reik H., January 2007 (has links)
Ulm, Univ., Diss., 2007.
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Stochastic implied volatility : a factor-based model /Hafner, Reinhold. January 2004 (has links)
Univ., Phil. Diss.--Augsburg, 2004.
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Real options valuation : the importance of interest rate modelling in theory and practice /Schulmerich, Marcus. January 1900 (has links)
Originally presented as the author's doctoral thesis to the European Business School, Oestrich-Winkel. / Includes bibliographical reference (p. [345]-353) and index.
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A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial AssetsKrämer, Romy, Richter, Matthias 19 May 2008 (has links)
In this paper, we study mathematical properties of a generalized bivariate
Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and
Wang, this model possesses a stochastic drift term which influences the statistical
properties of the asset in the real (observable) world. Furthermore, we generali-
ze the model with respect to a time-dependent (but still non-random) volatility
function.
Although it is well-known, that drift terms - under weak regularity conditions -
do not affect the behaviour of the asset in the risk-neutral world and consequently
the Black-Scholes option pricing formula holds true, it makes sense to point out
that these regularity conditions are fulfilled in the present model and that option
pricing can be treated in analogy to the Black-Scholes case.
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