Stochastic Modeling of Stock Prices Incorporating Jump Diffusion and Shot Noise Models

Idioma: inglés

Editorial: GRIN Verlag Aug 2016, 2016

3656987602 / 9783656987604

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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, AlemaniaBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -Master's Thesis from the year 2016 in the subject Mathematics - Stochastics, grade: 1,7, Technical University of Darmstadt (Forschungsgebiet Stochastik), course: Mathematik - Finanzmathematik, language: English, abstract: In this thesis, we present a stochastic model for stock prices incorporating jump diffusion and shot noise models based on the work of Altmann, Schmidt and Stute ('A Shot Noise Model For Financial Assets') and on its continuation by Schmidt and Stute ('Shot noise processes and the minimal martingale measure'). These papers differ in modeling the decay of the jump effect: Whereas it is deterministic in the first paper, it is stochastic in the last paper. In general, jump effects exist because of overreaction due to news in the press, due to illiquidity or due to incomplete information, i.e. because certain information are available only to few market participants. In financial markets, jump effects fade away as time passes: On the one hand, if the stock price falls, new investors are motivated to buy the stock. On the other hand, a rise of the stock price may lead to profit-taking, i.e. some investors sell the stock in order to lock in gains. Shot noise models are based on Merton's jump diffusion models where the decline of the jump effect after a price jump is neglected. In contrast to jump diffusion models, shot noise models respect the decay of jump effects. In complete markets, the so-called equivalent martingale measure is used to price European options and for hedging. Since stock price models incorporating jumps describe incomplete markets, the equivalent martingale measure cannot be determined uniquely. Hence, in this thesis, we deduce the so-called equivalent minimal martingale measure, both in discrete and continuous time. In contrast to Merton's jump diffusion models and to the well-known pricing model of Black and Scholes, the presented shot noise models are able to reproduce volatility smile effects which can be observed in financial markets. 104 pp. Englisch.

N° de ref. del artículo 9783656987604

Título
Stochastic Modeling of Stock Prices Incorporating Jump Diffusion and Shot Noise Models
Autor
Daniel Janocha
Editorial
GRIN Verlag Aug 2016
Año de publicación
2016
Estado
Neu
Encuadernación
Taschenbuch
Idioma
inglés
ISBN 10
3656987602
ISBN 13
9783656987604
Peso del artículo
163 gramos
Dimensiones
210x148x8 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Alemania

Vendedor de 5 estrellas

Vendedor de AbeBooks desde 11 de enero de 2012

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BuchWeltWeit Ludwig Meier e.K.

Alemania