• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 144
  • 61
  • 7
  • 7
  • 7
  • 7
  • 7
  • 7
  • 5
  • 2
  • Tagged with
  • 167
  • 167
  • 167
  • 71
  • 64
  • 48
  • 29
  • 29
  • 22
  • 22
  • 18
  • 14
  • 13
  • 13
  • 13
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Extension of price-trend models with applications in finance

Cheng, Lap-yan., 鄭立仁. January 2007 (has links)
published_or_final_version / abstract / Statistics and Actuarial Science / Master / Master of Philosophy
2

Finding top-k frequent balls in high dimensional spaces.

January 2004 (has links)
Liu Zheng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 69-72). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Contributions --- p.2 / Chapter 1.2 --- Dissertation Organization --- p.3 / Chapter 2 --- Problem Statement and Background Study --- p.4 / Chapter 2.1 --- Problem Statement --- p.4 / Chapter 2.2 --- Background Study --- p.6 / Chapter 2.2.1 --- Overview of Pattern Discovery Methods --- p.7 / Chapter 2.2.2 --- Applications --- p.9 / Chapter 3 --- Ball Discovery Algorithms --- p.13 / Chapter 3.1 --- Brute-force Method for Ball Discovery --- p.13 / Chapter 3.2 --- Ball Discovery with Small Point Sets --- p.15 / Chapter 3.2.1 --- Pruning the Search Space Using RP-tree --- p.15 / Chapter 3.2.2 --- CB-tree - Collection of Balls in a Compact and Complete Form --- p.22 / Chapter 3.2.3 --- Algorithm of Finding Balls Using RP-tree and CB-tree --- p.31 / Chapter 3.3 --- Ball Discovery in Large Point Sets --- p.31 / Chapter 3.3.1 --- Candidate Sets of Balls --- p.31 / Chapter 3.3.2 --- A Divide-and-Conquer Algorithm --- p.35 / Chapter 3.4 --- Heuristic Greedy Algorithms for Ball Discovery --- p.37 / Chapter 3.4.1 --- A Heuristic Greedy Algorithm --- p.37 / Chapter 3.4.2 --- Another Heuristic Greedy Algorithm --- p.38 / Chapter 4 --- Evaluations --- p.40 / Chapter 5 --- Discussion --- p.59 / Chapter 5.1 --- Order and Index the Points --- p.59 / Chapter 5.2 --- Incremental Points Update --- p.59 / Chapter 5.3 --- Smallest Enclosed Ball Algorithm --- p.60 / Chapter 6 --- Conclusion and Future Research --- p.61 / Chapter A --- Appendix --- p.63 / Chapter A.1 --- Fundamental Algorithms --- p.63 / Chapter A.1.1 --- Computing Smallest Enclosed Ball of a Point Set in Euclidean Space --- p.63 / Chapter A.1.2 --- Finding All Cliques of an Undirected Graph --- p.65 / Chapter A.2 --- An Example of a Small Data Set --- p.66 / Bibliography --- p.69
3

Influence of trading noise in equity prices on bond pricing models.

January 2006 (has links)
Leong U Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 32-34). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Structural Bond Pricing Models --- p.5 / Chapter 2.1 --- The Merton Model --- p.5 / Chapter 2.2 --- Extended Merton Model --- p.6 / Chapter 2.3 --- Longstaff and Schwartz Model --- p.8 / Chapter 3 --- Methodology --- p.11 / Chapter 3.1 --- Maximum Likelihood Estimation --- p.13 / Chapter 3.2 --- Non-linear Filtering Process --- p.13 / Chapter 3.3 --- Modification for LS Model --- p.15 / Chapter 4 --- Simulation and Empirical Analysis --- p.16 / Chapter 4.1 --- Simulation Study --- p.16 / Chapter 4.2 --- Empirical Analysis --- p.19 / Chapter 4.2.1 --- Bond Selection --- p.19 / Chapter 4.2.2 --- Result for EM Model --- p.21 / Chapter 4.2.3 --- Result for LS Model --- p.24 / Chapter 4.3 --- Implications from Empirical Analysis --- p.28 / Chapter 5 --- Conclusion --- p.30 / Bibliography --- p.32
4

Two essays on idiosyncratic volatility of stock markets

董森, Dong, Sen. January 2002 (has links)
published_or_final_version / Business / Master / Master of Philosophy
5

MIXTURES OF NORMAL DISTRIBUTIONS AND THE IMPLICATIONS FOR OPTION PRICING

Ritchey, Robert Joseph January 1981 (has links)
Numerous studies of the behavior of speculative prices have shown that the empirical distribution of such returns is consistently more peaked and fat-tailed than a Gaussian, and often positively skewed. Strong evidence is presented indicating hat such returns are better modeled by two-and three-component normal mixtures. By varying the means, variances, and probability weights of the component normals, a wide variety of peaked, fat-tailed, and symmetric or skewed distributions may be represented with very tractable mathematical expressions. Examination of the returns of 116 CBOE firms over three two-year periods indicates a high percentage of good fits for such normal mixtures, based on the chi-square statistic. Further, inspection of the parameters estimated for the two-component normal mixture reveals that the larger variance is quite frequently not associated with the lower probability weight as hypothesized by Mandelbrot and others. A new method of selecting class-boundaries is proposed to improve the reliability of the chi-square goodness-of-fit test. Using simulation, this method is found to be superior to the traditional Mann-Wald equiprobable approach, particularly for low priced securities. Using the assumption of risk-neutrality and a mixture of normals density for the underlying security returns, the mixture call option pricing model is derived. Call option prices are shown to be weighted sums of Black-Scholes prices, with solutions to the mixture model converging to Black-Scholes prices, with solutions to the mixture model converging to Black-Scholes solutions as the number of periods to expiration becomes large. Using the parameters obtained from typical mixture densities of actual CBOE firms, mixture model prices are generated and compared with Black-Scholes prices. It is found that out of the money, near term options are underpriced by Black-Scholes relative to the mixture model. The closer to expiration and the farther out of the money the option, the more Black-Scholes under-prices relative to the mixture model. Additionally, the fatter tailed and more positively skewed the underlying security returns distribution, the greater the differences between the two call option pricing models.
6

Dynamic analysis of the Walrasian tatonnement.

Lermer, George. January 1971 (has links)
No description available.
7

A heuristic study of an atomistic market with varying degrees of price information.

Berczi, Andrew January 1972 (has links)
No description available.
8

A heuristic study of an atomistic market with varying degrees of price information.

Berczi, Andrew January 1972 (has links)
No description available.
9

Dynamic analysis of the Walrasian tatonnement.

Lermer, George. January 1971 (has links)
No description available.
10

Pricing options and equity-indexed annuities in regime-switching models by trinomial tree method

Yuen, Fei-lung., 袁飛龍. January 2010 (has links)
published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

Page generated in 1.3234 seconds