hh.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial mathematics)
Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Tillämpad matematik och fysik (MPE-lab). (Financial mathematics)
2011 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave [Kunstnerisk arbeiden]
Abstract [en]

In this paper we introduce a model of default contagion in the financail market. The structure of the companies are represented by a Heavy Gravity Portfolio, where we assume there are N sectors in the market and in each sector i, there is one big trader and ni supply companies.The supply companies in each sector are directly inuenced by the bigtrader and the big traders are also pairwise interacting with each other.This development of the Ising model is called Heavy gravity portfolioand according to this, the relation between expectation and correlationof the default of companies are derived by means of simulations utilisingthe Gibbs sampler. Finally methods for maximum likelihood estimationand for a likelihood ratio test of the interaction parameter in the modelare derived.

sted, utgiver, år, opplag, sider
2011. , s. 41
Emneord [en]
Financial Mathematics, Ising model, portfolio, default contagion
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-16459Lokal ID: IDE1126OAI: oai:DiVA.org:hh-16459DiVA, id: diva2:448327
Fag / kurs
Financial Mathematics
Presentation
2011-05-30, Wigforssallen, Halmstad University, Halmstad, 14:27 (engelsk)
Uppsök
Physics, Chemistry, Mathematics
Veileder
Examiner
Tilgjengelig fra: 2011-10-16 Laget: 2011-10-16 Sist oppdatert: 2011-10-31bibliografisk kontrollert

Open Access i DiVA

fulltext(1162 kB)366 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 1162 kBChecksum SHA-512
003e30c29a09ae9fba56cc548aee1eb3862627e7c1878c009989ceaed88f356b3cabe918311535fa41f9c0740cee220b0ad9c5350fc7dec909897e25e4d013d5
Type fulltextMimetype application/pdf

Søk i DiVA

Av forfatter/redaktør
Zhao, YangZhang, Min
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 366 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 252 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf