Global ETD Search

1	Forecasting Volatility for commodity futures using fat-tailed model Ke, Pei-ru 08 July 2011 (has links) This paper considers the high-moments and uses the skew generalized error distribution (SGED) to explain the financial market data which have leptokurtic, fat-tailed and skewness. And we compare performance with the commonly used symmetrical distribution model such as normal distribution, student¡¦s t distribution and generalized error distribution (GED). To research when returns of asset have leptokurtic and fat-tailed phenomena, what model has better predictive power for volatility forecasting? The empirical procedure is as follows: First step, make the descriptive statistics of raw data, and know that the GARCH effect should be considered, followed by selecting the optimal order of ARMA-GARCH. The second steps, make the parameter estimations of full-sample, and pick up the best model. Finally, forecast out-of-sample volatility for 1-day, 2-day, 5-day, 10-day and 20-day respectively, not only use different loss function to measure the performance, but also use DM test to compare the relative predictive power of the models under the different error distribution. leptokurtic fat-tailed volatility forecast SGED
2	Market Making jako obchodní strategie / Market Making as a trading strategy Bartík, Jan January 2017 (has links) This diploma thesis deals with the market-making strategy's profitability analysis, tested on simulation of central order book. The theoretical part describes how the market maker quotes the price of supply and demand and mathematically proves under which circumstances this strategy is profitable. The practical part introduces a simulation of the central order book. The advantage of simulating the entire order book is that we have information about the number of market participants and quotes at any given time. It also introduces a fictitious market maker quoting the price of supply and demand at any given moment, the price being determined by the price of the previous time step. The order book is simulated in three different settings - random walk, mean-reversion and leptokurtic distribution, and it is shown that the expected profitability of the market-maker strategy is positive in all three cases.
3	Option Pricing Under New Classes of Jump-Diffusion Processes Adiele, Ugochukwu Oliver 12 1900 (has links) In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponential jump-diffusion. We show that the normal convolution gamma mixture jump-diffusion model captures some economically important features of the asset price, and that it exhibits heavier tails than both Merton jump-diffusion and double exponential jump-diffusion models. Secondly, the normal convolution double gamma jump-diffusion model for pricing options is presented. We show that under certain configurations of both the normal convolution gamma mixture and the normal convolution double gamma jump-diffusion models, the latter exhibits a heavier left or right tail than the former. For both models, the maximum likelihood procedure for estimating the model parameters under the physical measure is fairly straightforward; moreover, the likelihood function is given in closed form thereby eliminating the need to embed a probability density function recovery procedure such as the fast Fourier transform or the Fourier-cosine expansion methods in the parameter estimation procedure. In addition, both models can reproduce the implied volatility surface observed in the options data and provide a good fit to the market-quoted European option prices. Jump-diffusion process L\'evy process option pricing parameter estimation leptokurtic feature
4	Financial Derivatives Pricing and Hedging - A Dynamic Semiparametric Approach Huang, Shih-Feng 26 June 2008 (has links) A dynamic semiparametric pricing method is proposed for financial derivatives including European and American type options and convertible bonds. The proposed method is an iterative procedure which uses nonparametric regression to approximate derivative values and parametric asset models to derive the continuation values. Extension to higher dimensional option pricing is also developed, in which the dependence structure of financial time series is modeled by copula functions. In the simulation study, we valuate one dimensional American options, convertible bonds and multi-dimensional American geometric average options and max options. The considered one-dimensional underlying asset models include the Black-Scholes, jump-diffusion, and nonlinear asymmetric GARCH models and for multivariate case we study copula models such as the Gaussian, Clayton and Gumbel copulae. Convergence of the method is proved under continuity assumption on the transition densities of the underlying asset models. And the orders of the supnorm errors are derived. Both the theoretical findings and the simulation results show the proposed approach to be tractable for numerical implementation and provides a unified and accurate technique for financial derivative pricing. The second part of this thesis studies the option pricing and hedging problems for conditional leptokurtic returns which is an important feature in financial data. The risk-neutral models for log and simple return models with heavy-tailed innovations are derived by an extended Girsanov change of measure, respectively. The result is applicable to the option pricing of the GARCH model with t innovations (GARCH-t) for simple eturn series. The dynamic semiparametric approach is extended to compute the option prices of conditional leptokurtic returns. The hedging strategy consistent with the extended Girsanov change of measure is constructed and is shown to have smaller cost variation than the commonly used delta hedging under the risk neutral measure. Simulation studies are also performed to show the effect of using GARCH-normal models to compute the option prices and delta hedging of GARCH-t model for plain vanilla and exotic options. The results indicate that there are little pricing and hedging differences between the normal and t innovations for plain vanilla and Asian options, yet significant disparities arise for barrier and lookback options due to improper distribution setting of the GARCH innovations. extended Girsanov principle hedging multi-dimensional option pricing dynamic semiparametric approach copula conditional leptokurtic model American option
5	Modelling fish dispersal in catchments affected by multiple anthropogenic pressures Radinger, Johannes 21 November 2014 (has links) Die Besiedlung von Gewässern durch Fische, ist neben abiotischen Lebensraumbedingungen auch von der Erreichbarkeit d.h. von der art-spezifischen Ausbreitungsfähigkeit sowie von Wanderhindernissen abhängig. Der erste Teil dieser Arbeit bietet die erste umfangreiche quantitative Analyse von Ausbreitungsmustern und -distanzen von Flussfischen. Aus der Fachliteratur wurden 160 empirische Datensätze aus 71 wissenschaftlichen Studien zur Ausbreitung von 62 Fischarten in Flüssen extrahiert und an leptokurse Wahrscheinlichkeits-Dichte-Funktionen (Dispersal kernel) angepasst. Es konnte bei Fischpopulationen zwischen einer stationären (ca. 2/3) und einer mobilen Komponente (ca. 1/3) unterschieden werden deren Ausbreitungsdistanzen von vier Faktoren abhängig sind: Fischlänge, Form der Schwanzflosse, Fließgewässergröße, betrachtete Zeitspanne. Der zweite Teil dieser Arbeit widmet sich dem neu entwickelten Fischausbreitungsmodell FIDIMO einem GIS-Softwareprogramm zur Modellierung und Simulation der räumlichen und zeitlichen Ausbreitungsmuster von Fischen in Flüssen unter Berücksichtigung von Wanderhindernissen. FIDIMO verknüpft konzeptionelle Überlegungen zu Ausbreitungsmodellen in verzweigten Fließgewässernetzwerken mit empirisch bestimmten leptokursen Fischausbreitungskurven unter ausschließlicher Verwendung von Free and Open Source Software. Im dritten Teil der Arbeit wurde FIDIMO zur Modellierung der Ausbreitung von 17 Fischarten angewendet um die Einflüsse von (i) Habitatqualität, (ii) Ausbreitungsfähigkeit und (iii) Fließgewässer-Fragmentierung auf die Besiedlungsmuster durch Fische zu bestimmen. Die Ergebnisse zeigen, dass die artspezifische Habitatqualität und Ausbreitungsfähigkeit die Besiedlung maßgeblich bestimmen. Dagegen wurde kein signifikanter Einfluss von Barrieren auf das Vorkommen einer Art gefunden. Über längere Zeiträume sinkt der Einfluss von Fischausbreitung auf das lokale Vorkommen einer Fischart während die Habitatqualität relativ wichtiger wird. / The colonisation of rivers by fishes is directly linked to abiotic habitat conditions but often impaired by dispersal abilities of fishes and movement constraints such as barriers. The first part of this thesis provides the first comprehensive quantitative analysis of freshwater fish movement while considering fish populations consisting of differently mobile specimens. 160 empirical datasets from 71 studies on the movement of 62 riverine fish species were analysed based on refitted leptokurtic probability-density functions (dispersal kernels). A share of one third and two thirds emerged as a general pattern of the mobile and stationary component of a fish population, respectively. Moreover, four variables were identified primarily determining dispersal distances: fish length, aspect ratio of the caudal fin, river size and time. In the second part of the thesis, the novel fish dispersal model FIDIMO is introduced. FIDIMO provides a GIS-tool for predicting and simulating spatio-temporal patterns of fish dispersal in dendritic river networks considering movement barriers. The fish dispersal model FIDIMO links conceptual considerations on dispersal modelling with empirically observed leptokurtic fish movement patterns and the strengths of geographically explicit modelling in Free and Open Source GIS. In the third part of the thesis, FIDIMO was applied for modelling dispersal of 17 fish species to disentangle the effects of (i) habitat suitability, (ii) dispersal constraints and (iii) network fragmentation on the distribution of river fishes. The results show significant positive effects of both, local-scale habitat quality and species-specific dispersal ability on the distribution of river fishes, whereas no significant effect of barriers influencing the presence of a species could be found. Over longer time periods the importance of dispersal decreased in favour of habitat suitability becoming relatively more relevant in determining species'' presence. Fisch Ausbreitung Leptokurse Ausbreitung Mobile Komponente Stationäre Komponente Ausbreitungsmodellierung Open Source GIS Raster GIS Fließgewässernetzwerk Fließgewässerrenaturierung Wanderhindernis longitunidale Durchgängigkeit fish dispersal leptokurtic movement mobile component stationary component dispersal modelling open source GIS Raster GIS river network river restoration success movement barriers longitudinal connectivity 630 Landwirtschaft, Veterinärmedizin 39 Landwirtschaft, Garten ZD 40000 ddc:630
6	Empirical Performance and Asset Pricing in Markov Jump Diffusion Models / 馬可夫跳躍擴散模型的實證與資產定價林士貴, Lin, Shih-Kuei Unknown Date (has links) 為了改進Black-Scholes模式的實證現象，許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象。然而對於其他的模型分析的處理依然是一個問題。在本論文中，我們建議使用馬可夫跳躍擴散過程，不僅能整合leptokurtic與波動度微笑特性，而且能產生波動度聚集的與長記憶的現象。然後，我們應用Lucas的一般均衡架構計算選擇權價格，提供均衡下當跳躍的大小服從一些特別的分配時則選擇權價格的解析解。特別地，考慮當跳躍的大小服從兩個情況，破產與lognormal分配。當馬可夫跳躍擴散模型的馬可夫鏈有兩個狀態時，稱為轉換跳躍擴散模型，當跳躍的大小服從lognormal分配我們得到選擇權公式。使用轉換跳躍擴散模型選擇權公式，我們給定一些參數下研究公式的數值極限分析以及敏感度分析。 / To improve the empirical performance of the Black-Scholes model, many alternative models have been proposed to address the leptokurtic feature of the asset return distribution, and the effects of volatility clustering phenomenon. However, analytical tractability remains a problem for most of the alternative models. In this dissertation, we propose a Markov jump diffusion model, that can not only incorporate both the leptokurtic feature and volatility smile, but also present the economic features of volatility clustering and long memory. Next, we apply Lucas's general equilibrium framework to evaluate option price, and to provide analytical solutions of the equilibrium price for European call options when the jump size follows some specific distributions. In particular, two cases are considered, the defaultable one and the lognormal distribution. When the underlying Markov chain of the Markov jump diffusion model has two states, the so-called switch jump diffusion model, we write an explicit analytic formula under the jump size has a lognormal distribution. Numerical approximations of the option prices as well as sensitivity analysis are also given. 均衡分析歐式選擇權拉氏倒轉變換長記憶馬可夫跳躍擴散模型馬可夫控制瓦松過程數值倒轉方法換跳躍擴散過程變波動聚集波動度微笑 Equilibrium analysis European call option Laplace inverse transform Leptokurtic Long memory Markov jump diffusion model Markov modulated Poisson process Numerical inversion method Switch jump diffusion model Volatility clustering Volatility smile
7	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) 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 extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
8	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) 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 extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics

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