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  • 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.

Search results

Showing 1 to 10 of 508 (0.031 seconds)
1

Some remarks on the central limit theorem for stationary Markov processes

Holzmann, Hajo. January 2004 (has links) (PDF)
Göttingen, Univ., Diss., 2004.
Markov-Prozess Stationärer Prozess
2

Some remarks on the central limit theorem for stationary Markov processes

Holzmann, Hajo. January 2004 (has links) (PDF)
Göttingen, University, Diss., 2004.
Markov-Prozess Stationärer Prozess
3

GARCH vs stochastic volatility. Option pricing and risk management.

Lehar, Alfred, Scheicher, Martin, Schittenkopf, Christian January 2001 (has links) (PDF)
This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two sets of performance criteria, namely out-of-sample valuation errors and Value-at-Risk oriented measures. When we analyze the fit to observed prices, GARCH clearly dominates both stochastic volatility and the benchmark Black Scholes model. However, the predictions of the market risk from hypothetical derivative positions show sizable errors. The fit to the realized profits and losses is poor and there are no notable differences between the models. Overall we therefore observe that the more complex option pricing models can improve on the Black Scholes methodology only for the purpose of pricing, but not for the Value-at-Risk forecasts. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Optionspreis / Prozess
4

Schnittdichten inhomogener Poissonprozesse

Hoffmann, Lars Michael. January 2006 (has links)
Universiẗat, Diss., 2006--Karlsruhe.
Poisson-Prozess.
5

Limit theorems for quantum entropies

Bjelaković, Igor. January 2004 (has links) (PDF)
Berlin, Techn. Univ., Diss., 2004. / Computerdatei im Fernzugriff.
Stochastischer Prozess
6

Bedingte Konvergenz stochastischer Prozesse

Scheer, Christian. January 1900 (has links) (PDF)
Trier, Univ., Diss., 2003. / Erscheinungsjahr an der Haupttitelstelle: 2003. Computerdatei im Fernzugriff.
Stochastischer Prozess
7

On the rigorous derivation of a kinetic equation for a chemical reaction taking place in a simple mechanical model system, following Boltzmann's ideas using the "Stosszahlansatz"

Rassy, Tilman. January 2004 (has links) (PDF)
Berlin, Techn. Univ., Diss., 2004. / Computerdatei im Fernzugriff.
Irreversibler Prozess
8

Metastability of Markovian systems a transfer operator based approach in application to molecular dynamics /

Huisinga, Wilhelm. January 2001 (has links)
Berlin, Freie Univ., Diss., 2001. / Dateiformat: zip, Dateien im PDF-Format. Computerdatei im Fernzugriff.
Markov-Prozess
9

Metastability of Markovian systems a transfer operator based approach in application to molecular dynamics /

Huisinga, Wilhelm. January 2001 (has links)
Berlin, Freie Univ., Diss., 2001. / Dateiformat: zip, Dateien im PDF-Format. Computerdatei im Fernzugriff.
Markov-Prozess
10

Anwendungen des empirischen Likelihood-Schätzers der Fehlerverteilung in AR(1)-Prozessen

Genz, Michael. January 1900 (has links) (PDF)
Giessen, Universiẗat, Diss., 2004.
Autoregressiver Prozess

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