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  • 1.
    AL, Cihan
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Koroglu, Kubra
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives2011Independent thesis Advanced level (degree of Master (One Year)), 40 credits / 60 HE creditsStudent thesis
  • 2.
    Antczak, Magdalena
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Leniec, Marta
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Pricing and Hedging of Defaultable Models2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Modelling defaultable contingent claims has attracted a lot of interest in recent years, motivated in particular by the Late-2000s Financial Crisis. In several papers various approaches on the subject have been made. This thesis tries to summarize these results and derive explicit formulas for the prices of financial derivatives with credit risk. It is divided into two main parts. The first one is devoted to the well-known theory of modelling the default risk while the second one presents the results concerning pricing of the defaultable models that we obtained ourselves.

  • 3.
    Bengtsson, Ola
    et al.
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS).
    Baerveldt, Albert-Jan
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS).
    Localization in changing environments - Estimation of a covariance matrix for the IDC algorithm2001In: Proceedings 2001 IEEE/RSJ International Conference on Intelligent Robots and Systems. Expanding the Societal Role of Robotics in the the Next Millennium (Cat. No.01CH37180): Volume 4 of 4, Piscataway, N.J.: IEEE, 2001, p. 1931-1937Conference paper (Refereed)
    Abstract [en]

    Previously we have presented a new scan-matching algorithm, based on the IDC - Iterative Dual Correspondence- algorithm, which showed a good localization performance even in the case of severe changes in the environment. The Problem of the IDC-algorithm is that there is no good way to estimate the covariance matrix of the position estimate, which prohibits an effective fusion with other position estimates from other sensors, e.g by means of the Kalman filter. In this paper we present a new way to estimate the covariance matrix, by estimating the Hessian matrix of the error function that is minimized by the IDC scan-matching algorithm. Simulation results show that the estimated covariance matrix correspond well to the real one.

  • 4.
    Bigun, Josef
    et al.
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), CAISR - Center for Applied Intelligent Systems Research.
    Mikaelyan, Anna
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS).
    Frequency map by Structure Tensor in Logarithmic Scale Space and Forensic Fingerprints2016In: PROCEEDINGS OF 29TH IEEE CONFERENCE ON COMPUTER VISION AND PATTERN RECOGNITION WORKSHOPS, (CVPRW 2016), Piscataway, NJ: IEEE, 2016, p. 204-213, article id 7789522Conference paper (Refereed)
    Abstract [en]

    Increasingly, absolute frequency and orientation maps are needed, e.g. for forensics. We introduce a non-linear scale space via the logarithm of trace of the Structure Tensor. Therein, frequency estimation becomes an orientation estimation problem. We show that this offers significant advantages, including construction of efficient isotropic estimations of dense maps of frequency. In fingerprints, both maps are shown to improve each other in an enhancement scheme via Gabor filtering. We suggest a novel continuous ridge counting method, relying only on dense absolute frequency and orientation maps, without ridge detection, thinning, etc. Furthermore, we present new evidence that frequency maps are useful attributes of minutiae. We verify that the suggested method compares favorably with state of the art using forensic fingerprints as test bed, and test images where the ground truth is known. In evaluations, we use public data sets and published methods only.

  • 5.
    Boguta, Maria
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
    A New Space-Time Model for Interacting Agents in the Financial Market2009Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In this thesis we present a new space-time model of interacting agents in the financial market. It is a combination of the Curie-Weiss model and a model introduced by Järpe. We investigate properties such as the critical temperature and magnetization of the system. The distribution of the Hamiltonian function is obtained and a hypothesis test of independence is derived. The results are illustrated in an example based on real data.

  • 6.
    Burnos, Sergey
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Ngow, ChaSing
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    SVI estimation of the implied volatility by Kalman filter.2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

    To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a  linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility. From a risk management perspective we generate the 1-day ahead forecast of profit and loss (P\&L) of option portfolios. We compare the estimation of the implied volatility using the SVI model with the cubic polynomial model. We find that the SVI Kalman filter has outperformed the  others.

  • 7.
    Dzharayan, Gayk
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Voronova, Elena
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Pricing of exotic options under the Kou model by using the Laplace transform2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. We chose the one of the modifications of Black-Scholes model, the Kou double exponential jump-diffusion model with the double exponential distribution of jumps, as model of the underlying stock prices development. The computations was done by the Laplace transform and it's inversion by the Euler method. We will present in details proof of finding Laplace transforms of put and call two-asset correlation options, the calculations of the moment generation function of the jump-diffusion by Levy-Khintchine formulae in cases without jumps and with independent jumps, and direct calculation of the risk-neutral expectation by solving double integral. Our work also contains the programme code for two-asset correlation call and put options. We will show the realization of our programme in the real data. As a result we see how our model complies on the NASDAQ OMX Stock-holm Market, considering the two-asset correlation options on three cases by stock prices of Handelsbanken, Ericsson and index OMXS30.

  • 8.
    Englund, Cristofer
    et al.
    Viktoria Institute, Göteborg, Sweden.
    Verikas, Antanas
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), Intelligent systems (IS-lab). Department of Electrical & Control Equipment, Kaunas University of Technology, Kaunas, Lithuania.
    A novel approach to estimate proximity in a random forest: An exploratory study2012In: Expert systems with applications, ISSN 0957-4174, E-ISSN 1873-6793, Vol. 39, no 17, p. 13046-13050Article in journal (Refereed)
    Abstract [en]

    A data proximity matrix is an important information source in random forests (RF) based data mining, including data clustering, visualization, outlier detection, substitution of missing values, and finding mislabeled data samples. A novel approach to estimate proximity is proposed in this work. The approach is based on measuring distance between two terminal nodes in a decision tree. To assess the consistency (quality) of data proximity estimate, we suggest using the proximity matrix as a kernel matrix in a support vector machine (SVM), under the assumption that a matrix of higher quality leads to higher classification accuracy. It is experimentally shown that the proposed approach improves the proximity estimate, especially when RF is made of a small number of trees. It is also demonstrated that, for some tasks, an SVM exploiting the suggested proximity matrix based kernel, outperforms an SVM based on a standard radial basis function kernel and the standard proximity matrix based kernel. © 2012 Elsevier Ltd. All rights reserved.

  • 9.
    Gao, Zhiyuan
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP).
    Qi, Likai
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP).
    Predicting Stock Price Index2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

    This study is based on three models, Markov model, Hidden Markov model and the Radial basis function neural network. A number of work has been done before about application of these three models to the stock market. Though, individual researchers have developed their own techniques to design and test the Radial basis function neural network. This paper aims to show the different ways and precision of applying these three models to predict price processes of the stock market. By comparing the same group of data, authors get different results. Based on Markov model, authors find a tendency of stock market in future and, the Hidden Markov model behaves better in the financial market. When the fluctuation of the stock price index is not drastic, the Radial basis function neural network has a nice prediction.

  • 10.
    Ivarsson, Andreas
    et al.
    Halmstad University, School of Health and Welfare, Centre of Research on Welfare, Health and Sport (CVHI), Sport Health and Physical activity. Faculty of Health and Life Sciences, Linnaeus University, Sweden.
    Johnson, Urban
    Halmstad University, School of Health and Welfare, Centre of Research on Welfare, Health and Sport (CVHI), Sport Health and Physical activity.
    Are all predicted relationships linear by nature? A note about quantile regression in sport and exercise psychology2014In: Athletic Insight: The Online Journal of Sport Psychology, ISSN 1536-0431, E-ISSN 1947-6299, Vol. 6, no 2, p. 115-123Article in journal (Refereed)
    Abstract [en]

    Data in sport and exercise psychology research are often analyzed based on the assumption that the relationships between two or more variables are linear in nature. But are all relationships in sport and exercise settings linear? The aim of this paper is to: a) discuss the potential shortcomings with using linear regression analysis, b) introduce quantile regression analysis (Q-regression) as an alternative to linear regression, and c) give examples of how to use Q-regression analysis in order to overcome some of the shortcomings of linear regression analysis. A comparison between the results from a linear regression analysis and a Q-regression analysis shows differences between the two methods. More specifically, the independent variables in the results of the Q-regression analysis were shown to have non-linear relationships with the dependent variable in given examples. Researchers are encouraged to consider using Q-regression analysis in studies where non-linear relationships could be expected.

  • 11.
    Ivarsson, Andreas
    et al.
    Halmstad University, School of Health and Welfare, Centre of Research on Welfare, Health and Sport (CVHI), Health and Sport.
    Stenling, Andreas
    Umeå University, Umeå, Sweden & University of Gothenburg, Gothenburg, Sweden & University of Otago, Dunedin, New Zealand.
    Prediction of injury risk in sports2019In: Wiley StatsRef: Statistics Reference Online / [ed] N. Balakrishnan, Theodore Colton, Brian Everitt, Walter Piegorsch, Fabrizio Ruggeri & Jozef L. Teugels, John Wiley & Sons, 2019Chapter in book (Refereed)
    Abstract [en]

    Sport injuries are a major problem associated with sport participation. To develop preventive strategies and programs, it is important to identify factors that will increase the likelihood of sport injuries. In most sport injury risk factor research, statistical analyses are performed; however, many of the most common statistical analyses provide limited information about predictors of sport injury risk. The common analyses used in previous studies do not acknowledge the complexity associated with investigating risk factors for sport injuries. To better capture this complexity, suggested in most theoretical frameworks, more appropriate of statistical approaches should be used. In this article we present how latent profile analysis, latent change score analysis, and latent growth curve analysis can be used to overcome some of the limitations with more traditional analyses. Lastly, we also elaborate on future directions for analyses in sport injury risk factor research. More specifically, we present how advanced statistical models, such as classification and regression trees (CART) analysis and random forest analysis, can be used to provide researchers and clinicians with results that are more clinically meaningful.

  • 12.
    Jogbratt, Karl-Oskar
    Halmstad University, School of Social and Health Sciences (HOS).
    Kommunal befolkningsförändring: En studie av mellankommunal migration och dess bakomliggande faktorer2011Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
    Abstract [sv]

    Uppsatsen undersöker befolkningsförändring sett ur ett migrationsperspektiv under perioden 2000-2009. Studien visar att 145 av Sveriges 290 kommuner under 2000-talet har minskat i befolkning medan 140 kommuner har ökat i befolkning. Det grundläggande pro-blemet uppsatsen belyser är det faktum att 15 av dessa kommuner minskat i befolkning med mer än 10 procent. Utöver detta tillkommer att 29 kommuner haft en befolkningsökning på mer än 10 procent. Utvecklingen orsakar en skevhet i den kommunala organisationen som medför problem ibland annat den kommunala budgeteringen. Studiens utvalda förklaringsva-riabler är ett begränsat urval som baserats på tidigare forskning och teori kring migration och flyttmönster. Förklaringsvariablerna som användes behandlade följande områden:

    arbetslöshet, utbildningsgrad, nystartade företag, skatteunderlag, kommunala utgifter, barnomsorgskostnad, nettokostnad för äldre och funktionshindrade samt jämställdhet. Uppsatsens syfte är inte att ge en heltäckande förklaringsmodell utan att undersöka ett urval av möjliga förklar-ingsfaktorer. Den totala förklaringsmodellen lämnas således för framtida forskare att reda ut.

    Av studiens resultat framgår ingen av variablerna som dominerande gällande förklaringskraft, däremot framstår de totala kommunala utgifterna, barnomsorgskostnad och antal nystartade företag som viktigast sett till kommunal befolkningsutveckling. Skatteunderlag och jämställdhet var de variabler av minst betydelse.

  • 13.
    Johansson, Jan Olof
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Hössjer, Ola G.
    Department of Mathematics, Stockholm University, Sweden.
    A shot-noise model for paper fibres with non-uniform random orientations2005In: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 32, no 3, p. 351-363Article in journal (Refereed)
    Abstract [en]

    The surface properties of newsprint and other paper qualities are to a great extent determined by the properties of the cellulose fibres. An appropriate description of these fibres as they appear in the paper is therefore important and can be used for quality classification and process monitoring. We suggest a model that considers the fibre geometry and appearance. It is based on a two-dimensional shot-noise process. The model is fit by minimizing a weighted least squares distance between the model-based and estimated covariance functions and this provides estimates of the fibre size, intensity and the non-uniform distribution of the fibre orientation. The model is applied to simulated and real data.

  • 14.
    Juszczuk, Agnieszka Beata
    et al.
    Halmstad University. Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Tkacheva, Evgeniya
    Halmstad University. Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Revision Moment for the Retail Decision-Making System2010Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. In the first part of the work the main principles of the parameters estimation are given. Also the change-point problem is considered for the given sample in the discrete and continuous time with using the Maximum likelihood method. In the second part of the work the disorder moment detection problem for the real-time observations is considered as a disorder problem for a non-homogeneous Poisson process. The corresponding optimal stopping problem is reduced to the free-boundary problem with a complete analytical solution for the case when the intensity of defaults increases. Thereafter a scheme of the real time detection of a disorder moment is given.

  • 15.
    Järpe, Eric
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS).
    An Ising-Type Model for Spatio-Temporal Interactions2005In: Markov Processes and Related Fields, ISSN 1024-2953, Vol. 11, no 3, p. 535-552Article in journal (Refereed)
    Abstract [en]

    A model which possesses both spatial and time dependence is the Markov chain Markov field (see X. Guyon, 1995). Here inference about the parameter for spatio-temporal interaction of a special case of a Markov chain Markov field model is considered. A statistic which is minimal sufficient for the interaction parameter and its asympotic distribution are derived. A condition for stationarity of the sufficient statistic process and the stationary distribution are given. Likelihood based inference such as estimation, hypothesis testing and monitoring are briefly examined.

  • 16.
    Järpe, Eric
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), CAISR - Center for Applied Intelligent Systems Research.
    Räkna med rester: Matematik att tillämpas inom kryptologi2013Book (Other academic)
    Abstract [sv]

    Ämnet kryptologi, dvs. kryptering, dekryptering och kodknäckning ­omfattar såväl matematik, dator­programmering som allmän finurlighet. Denna bok behandlar Caesarkrypto, substitutionskrypto, Vignèrekrypto, RSA-krypto och den bakom­liggande ­matematiken (ekvations­lösning, räkning med exponential­uttryck, resträkning, primtalsteori och rekursion) samt angränsande matematik (såsom kombinatorik, statisti­ska metoder för t.ex. detektering av krypterad kod och beräkning av överföringskvalitet). Boken innehåller även en så pass bred ­genomgång av elementär algebra (mängdlära, logik, trigono­metri, komplexa tal och rekurrensekva­tioner) och analys (funktioner i en variabel, derivata och integraler) att den kan användas vid inledande studier i matematik inom en mängd olika utbildningar. Boken syftar till att ge en introduktion till kryptologisk problem­lösning och visa på de stora synergieffekter som uppnås genom att tillämpa en väl­balanserad ­kombination av grundläggande matematik och elementär programmering inom området. Förhoppningen är också att läsaren, sporrad av de nyvunna insikterna om kryptologi, lockas till vidare kunskapsfördjupning. Boken vänder sig i första hand till blivande IT-forensiker som kan behöva kompetensen att kryptera och knäcka krypton i sin yrkesroll men som inte har en omfattande matematisk förkunskap. Den ­vänder sig även till studenter på landets tekniska högskolor och ­universitet.

  • 17.
    Järpe, Eric
    Department of Statistics, Göteborg University, Göteborg, Sweden.
    Surveillance of the Interaction Parameter of the Ising Model1999In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 28, no 12, p. 3009-3027Article in journal (Refereed)
    Abstract [en]

    Surveillance to detect changes of spatial patterns is of interest in many areas such as environmental control and regional analysis. Here the interaction parameter of the Ising model, is considered. A minimal sufficient statistic and its asymptotic distribution are used. It is demonstrated that the convergence to normal distribution is rapid. The main result is that when the lattice is large, all approximations are better in several respects. It is shown that, for large lattice sizes, earlier results on surveillance of a normally distributed random variable can be used in cases of most interest. The expected delay of alarm at a fixed level of false alarm probability is examined for some examples. Copyright © 1999 by Marcel Dekker, Inc.

  • 18.
    Järpe, Eric
    et al.
    Department of Statistics, Gothenburg University, Gothenburg, Sweden.
    Wessman, Peter
    Department of Statistics, Gothenburg University, Gothenburg, Sweden.
    Some Power Aspects of Methods for Detecting Different Shifts in the Mean2000In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 29, no 2, p. 633-646Article in journal (Refereed)
    Abstract [en]

    We study, by means of simulations, the performance of the Shewhart method, the Cusum method, the Shiryaev-Roberts method and the likelihood ratio method in the case when the true shift differs from the shift for which the methods are optimal. The methods are compared for a fixed expected time until false alarm. The comparisons are made with respect to some measures associated with power such as probability of alarm when the change occurs immediately, expected delay of true alarm and predictive value of an alarm. Copyright © 2000 by Marcel Dekker, Inc.

  • 19.
    Ko, Byeonggeon
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Gao, Yang
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Monitoring Exchange Rates by Statistical Process Control2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. In this paper the volatility of the exchange rate is considered by means of a Heterogeneous Autoregression Conditional Heteroskedastictity (HARCH) Model. It explains the volatility of the exchange rate market well. In addition, it is assumed that at a random time point a change of a parameter in the distribution of the random process underobservation may occur. Some methods such as the Shewhart method, the Culumative Sum Method (CUSUM) and the ExponentiallyWeighted Moving Average Method (EWMA) are investigated within the frames of this change-point problem. In order to evaluate them, Average Run Length (ARL) and Conditional Expected Delay (CED) will be used asperformance measures.

  • 20.
    Kudla, Jakub
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Monte Carlo SimulationsMethods in Pricing AmericanType Options2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

    The aim of this paper is to present simulation methods for the pricing of American financial instruments. Three methods are presented. Each differs from the others in it's approach to the problem and the method of finding a solution. We illustrate the variety of possible approaches that can be adopted when dealing with this complicated problem. The results of using these algorithms are compared with examples found in literature on the subject. We try to identify the factors that influence price estimators and provide some new results about the properties and distributions of those estimators. We show that even a simple variance reduction technique has a positive effect for these algorithms. The purpose of this paper is to present the effectiveness of a simulation method in pricing American options. This is contrary to the opinion often stated in articles and monographs that the simulation approach is not adequate for the task. We provide an overview and comparison of earlier methods proposed and follow this with an extended discussion. This paper sets the foundations for further research into use of these algorithms for multidimensional problems, where they may offer a substantial advantage over deterministic methods.

  • 21.
    Mashad Nemati, Hassan
    et al.
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), CAISR - Center for Applied Intelligent Systems Research.
    Sant´Anna, Anita
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), CAISR - Center for Applied Intelligent Systems Research.
    Nowaczyk, Sławomir
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), CAISR - Center for Applied Intelligent Systems Research.
    Bayesian Network Representation of Meaningful Patterns in Electricity Distribution Grids2016In: 2016 IEEE International Energy Conference (ENERGYCON), 2016Conference paper (Refereed)
    Abstract [en]

    The diversity of components in electricity distribution grids makes it impossible, or at least very expensive, to deploy monitoring and fault diagnostics to every individual element. Therefore, power distribution companies are looking for cheap and reliable approaches that can help them to estimate the condition of their assets and to predict the when and where the faults may occur. In this paper we propose a simplified representation of failure patterns within historical faults database, which facilitates visualization of association rules using Bayesian Networks. Our approach is based on exploring the failure history and detecting correlations between different features available in those records. We show that a small subset of the most interesting rules is enough to obtain a good and sufficiently accurate approximation of the original dataset. A Bayesian Network created from those rules can serve as an easy to understand visualization of the most relevant failure patterns. In addition, by varying the threshold values of support and confidence that we consider interesting, we are able to control the tradeoff between accuracy of the model and its complexity in an intuitive way. © 2016 IEEE

  • 22.
    Maximchuk, Oleg
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Volkov, Yury
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Provisions estimation for portfolio of CDO in Gaussian financial environment2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The problem of managing the portfolio provisions is of very high importance for any financial institution. In this paper we provide both static and dynamic models of provisions estimation for the case when the decision about provisions is made at the first moment of time subject to the absence of information and for the case of complete and incomplete information. Also the hedging strategy for the case of the defaultable market is presented in this work as another tool of reducing the risk of default. The default time is modelled as a first-passage time of a standard Brownian motion through a deterministic barrier. Some methods of numerical provision estimation are also presented.

  • 23.
    Mironenko, Georgy
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Problem of hedging of a portfolio with a unique rebalancing moment2012Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion.

    The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way. 

  • 24.
    Mohammadian, Jeela
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
    Monitoring portfolio weights by means of the Shewhart method2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

    The distribution of asset returns may lead to structural breaks. Thesebreaks may result in changes of the optimal portfolio weights. For a port-folio investor, the ability of timely detection of any systematic changesin the optimal portfolio weights is of a great interest.In this master thesis work, the use of the Shewhart method, as amethod for detecting a sudden parameter change, the implied changein the multivariate portfolio weights and its performance is reviewed.

     

  • 25.
    Nechaev, Mikhail
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    On Kalman Filter Application for Risk Estimation of Derivatives Portfolio2011Conference paper (Refereed)
    Abstract [en]

    Clearing houses or huge broker-dealers usually apply portfolio approach for the estimation of traders’ liabilities and restriction of their risk. It supposes that they analyse possible changes of portfolio’s value within a given time horizon. For clearing houses (in USA as well as in Europe) there exists a standard methodology called SPAN, developed by Chicago Mercantile Exchange, where scenario approach is implemented. Sometimes this approach fails due to the finite number (16) of considered scenarios. It seems that parametric approach provides better quality, but in this case man needs a fast algorithm for the Implied Volatility (IV) curve forecast. By now there exists an algorithm which uses a polynomial approximation for the IV curve merged with Kalman Filtering procedure as a forecasting tool. We develop a new model and provide statistical evidence which shows that approximation of IV curve by a special class of functions give better results. Correspondent analysis is based on the data from US options market.

  • 26.
    Parsapoor, Mahboobeh
    et al.
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), Centre for Research on Embedded Systems (CERES). School of Computer Science, Faculty of Engineering & Physical Science, The University of Manchester, Manchester, United Kingdom.
    Bilstrup, Urban
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), Centre for Research on Embedded Systems (CERES).
    Svensson, Bertil
    Halmstad University, School of Information Technology, Halmstad Embedded and Intelligent Systems Research (EIS), Centre for Research on Embedded Systems (CERES).
    A Brain Emotional Learning-based Prediction Model for the Prediction of Geomagnetic Storms2014In: Proceedings of the 2014 Federated Conference on Computer Science and Information Systems, Los Alamitos, CA: IEEE Press, 2014, p. 35-42Conference paper (Refereed)
    Abstract [en]

    This paper introduces a new type of brain emotional learning inspired models (BELIMs). The suggested model is  utilized as a suitable model for predicting geomagnetic storms. The model is known as BELPM which is an acronym for Brain Emotional Learning-based Prediction Model. The structure of the suggested model consists of four main parts and mimics the corresponding regions of the neural structure underlying fear conditioning. The functions of these parts are implemented by assigning adaptive networks to the different parts. The learning algorithm of BELPM is based on the steepest descent (SD) and the least square estimator (LSE). In this paper, BELPM is employed to predict geomagnetic storms using the Disturbance Storm Time (Dst) index. To evaluate the performance of BELPM, the obtained results have been compared with the results of the adaptive neuro-fuzzy inference system (ANFIS). © 2014 Polish Information Processing Society.

  • 27.
    Prostakova, Irina
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Tazov, Alexander
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Energy Derivatives Pricing2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. Therefore, we develop a model for the futures market and compound derivatives with pricing in accordance with the correspondent index. We derive a framework for energy derivatives pricing, compute the price of the European call option on futures and corresponding hedging strategy. We calculate the price of the European call option adjusted for an index level, study the American put option on futures and corresponding hedging strategies.

  • 28.
    Reducha, Wojciech
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), Applied Mathematics and Physics (CAMP).
    Parameter Estimation of the Pareto-Beta Jump-Diffusion Model in Times of Catastrophe Crisis2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. For a complicated likelihood function it is seldom possible to find derivatives. The global maximum of a likelihood function defined for a jump diffusion model can however, be obtained by numerical methods. I chose to use the Bound Optimization BY Quadratic Approximation (BOBYQA) method which happened to be effective in this case. However, results of Maximum Likelihood Estimation (MLE) proved to be hard to interpret.

  • 29.
    Rehurek, Adam
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Stable Numerical Methods for PDE Models of Asian Options2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    Asian options are exotic financial derivative products which price must be calculated by numerical evaluation. In this thesis, we study certain ways of solving partial differential equations, which are associated with these derivatives. Since standard numerical techniques for Asian options are often incorrect and impractical, we discuss their variations, which are efficiently applicable for handling frequent numerical instabilities reflected in form of oscillatory solutions. We will show that this crucial problem can be treated and eliminated by adopting flux limiting techniques, which are total variation dimishing.

  • 30.
    Shcherbakova, Evgenia
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Gogoleva, Olga
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    On-line change-point detection procedures for Initial Public Offerings2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

     

    In this thesis we investigate the case of monitoring of stocks havingjust been introduced for public trading on the nancial market. Theempirical distribution of the change-point for 20 assets for 60 days was calculated to check the support for the assumption that the priceinitially drop or rise to some steady level.The price process X = {Xt : t in Z} is assumed to be an AR(1) process with a shift in the mean value from a slope to a constant. The Shiryaev-Roberts, Shewhart, EWMA, Likelihood ratio and CUSUM proceduresfor detecting a change-point in such a process are derived. The expecteddelay of the motivated alarm according to these methods is achievedunder the assumptions of a Poisson, uniform, binomial and geometric distributed 

    by means of simulations.

     

      

     

  • 31.
    Sjöstrand, Maria
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Aktaş, Özlem
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    One of the major problem faced by banks is how to manage the risk

    exposure in large portfolios. According to Basel II regulation banks

    has to measure the risk using Value-at-Risk with confidence level 99%.

    However, this regulation does not specify the way to calculate Valueat-

    Risk. The easiest way to calculate Value-at-Risk is to assume that

    portfolio returns are normally distributed. Altough, this is the most

    common way to calculate Value-at-Risk, there exists also other methods.

    The previous crisis shows that the regular methods are unfortunately

    not always enough to prevent bankruptcy. This paper is devoted to

    compare the classical methods of estimating risk with other methods

    such as Cornish-Fisher Expansion (CFVaR) and assuming generalized

    hyperbolic distribution. To be able to do this study, we estimate the risk

    in a large portfolio consisting of ten stocks. These stocks are chosen from

    the NASDAQ 100-list in order to have highly liquid stocks (bluechips).

    The stocks are chosen from different sectors to make the portfolio welldiversified.

    To investigate the impact of dependence between the stocks

    in the portfolio we remove the two most correlated stocks and consider

    the resulting eight stock portfolio as well. In both portfolios we put equal

    weight to the included stocks.

    The results show that for a well-diversified large portfolio none of the

    risk measures are violated. However, for a portfolio consisting of only

    one highly volatile stock we prove that we have a violation in the classical

    methods but not when we use the modern methods mentioned above.

     

  • 32.
    Somnicki, Emil
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
    Ostrowski, Krzysztof
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
    How useful are intraday data in Risk Management?: An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation2010Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    Abstract [en]

    The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. We apply the models into the stocks of three Banks of the Nordic market. We consider the daily and the intraday returns with the frequencies 5, 10, 20 and 30 minutes. We calculate the one step ahead VaR and ES for the daily and the intraday data. We use the Kupiec test and the Markov test to assess the correctness of the models. We also provide a new concept of improving the daily VaR calculation by using the high frequency returns. The results show that the intraday data can be used to the one step ahead VaR and the ES calculation. The comparison of the VaR for the end of the following trading day calculated on the basis of the daily returns and the one computed using the high frequency returns shows that using the intraday data can improve the VaR outcomes.

  • 33.
    Ye, Hui
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Ellanskaya, Anastasia
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Arbitrage-free market models for interest rate options and future options: the multi-strike case2010Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
    Abstract [en]

    This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. These two types of models have two completely different pricing approachs, one of which is martingale approach (in Dupire's model), and other one is a market approach (in Schweizer-Wissel's model). After arguing that Dupire's model suffers from the several lacks comparing to Schweizer-Wissel's model, we extend the latter one to get the variations for the case of options on interest rate indexes and futures options. Our models are based on the newly introduced definitions of local implied volatilities and a price level proposed by Schweizer and Wissel. We get explicit expressions of option prices as functions of the local implied volatilities and the price levels in our variations of models. Afterwards, the absence of the dynamic arbitrage in the market for such models can be described in terms of the drift restrictions on the models' coefficients. Finally we demonstrate the application of such models by a simple example of an investment portfolio to show how Schweizer-Wissel's model works generally.

  • 34.
    Zhao, Yang
    et al.
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    Zhang, Min
    Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
    The Ising Model on a Heavy Gravity Portfolio Applied to Default Contagion2011Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
    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.

1 - 34 of 34
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