1 resultado para Log-normal distribution
em AMS Tesi di Laurea - Alm@DL - Università di Bologna
Filtro por publicador
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (3)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (1)
- Aquatic Commons (12)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (3)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (1)
- Aston University Research Archive (39)
- Biblioteca de Teses e Dissertações da USP (4)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (30)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (40)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (4)
- Bioline International (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (21)
- Brock University, Canada (3)
- Bucknell University Digital Commons - Pensilvania - USA (2)
- Bulgarian Digital Mathematics Library at IMI-BAS (6)
- CaltechTHESIS (1)
- Cambridge University Engineering Department Publications Database (7)
- CentAUR: Central Archive University of Reading - UK (19)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (28)
- Cochin University of Science & Technology (CUSAT), India (2)
- Collection Of Biostatistics Research Archive (7)
- CORA - Cork Open Research Archive - University College Cork - Ireland (2)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (1)
- Dalarna University College Electronic Archive (1)
- Digital Commons - Michigan Tech (5)
- Digital Commons at Florida International University (10)
- DigitalCommons - The University of Maine Research (1)
- DigitalCommons@The Texas Medical Center (12)
- DRUM (Digital Repository at the University of Maryland) (2)
- Duke University (4)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (2)
- Fachlicher Dokumentenserver Paedagogik/Erziehungswissenschaften (1)
- Glasgow Theses Service (1)
- Greenwich Academic Literature Archive - UK (3)
- Helda - Digital Repository of University of Helsinki (8)
- Indian Institute of Science - Bangalore - Índia (25)
- Instituto Politécnico de Castelo Branco - Portugal (1)
- Instituto Politécnico do Porto, Portugal (1)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (2)
- Ministerio de Cultura, Spain (1)
- National Center for Biotechnology Information - NCBI (15)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (1)
- Portal de Revistas Científicas Complutenses - Espanha (1)
- Publishing Network for Geoscientific & Environmental Data (29)
- QSpace: Queen's University - Canada (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (31)
- Queensland University of Technology - ePrints Archive (263)
- ReCiL - Repositório Científico Lusófona - Grupo Lusófona, Portugal (1)
- Repositório Aberto da Universidade Aberta de Portugal (1)
- Repositorio Academico Digital UANL (1)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (2)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (10)
- REPOSITORIO DIGITAL IMARPE - INSTITUTO DEL MAR DEL PERÚ, Peru (2)
- Repositorio Institucional da UFLA (RIUFLA) (2)
- Repositório Institucional da Universidade de Brasília (2)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (112)
- SAPIENTIA - Universidade do Algarve - Portugal (1)
- Savoirs UdeS : plateforme de diffusion de la production intellectuelle de l’Université de Sherbrooke - Canada (2)
- Universidad de Alicante (1)
- Universidad del Rosario, Colombia (6)
- Universidad Politécnica de Madrid (11)
- Universidade Complutense de Madrid (1)
- Universidade de Lisboa - Repositório Aberto (1)
- Universidade Federal de Uberlândia (1)
- Universidade Federal do Pará (8)
- Universidade Federal do Rio Grande do Norte (UFRN) (7)
- Universitat de Girona, Spain (6)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (4)
- Université de Lausanne, Switzerland (5)
- Université de Montréal (1)
- Université de Montréal, Canada (7)
- Université Laval Mémoires et thèses électroniques (1)
- University of Connecticut - USA (2)
- University of Michigan (3)
- University of Queensland eSpace - Australia (8)
- University of Southampton, United Kingdom (19)
- University of Washington (2)
Resumo:
This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.