Exam 1984

Exam and solutions in LaTex

Exam 1983

Exam and solutions in LaTex

Exam 1988 pdf

Exam and solutions in PDF

Exam 1987 pdf

Exam and solutions in PDF

Exercise sheet 1

Exercises and solutions in LaTex

Exam 1986 pdf

Exam and solutions in PDF

Exam 1985 pdf

Exam and solutions in PDF

Exercise sheet 2

Exercises and solutions in LaTex

Exam 1984 pdf

Exam and solutions in PDF

Exam 1983 pdf

Exam and solutions in PDF

Exam 1987

Exam and solutions in LaTex

Exam 1986

Exam and solutions in LaTex

Exam 1988

Exam and solutions in LaTex

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

A novel repair model for imperfect maintenance

Commonly used repair rate models for repairable systems in the reliability literature are renewal processes, generalised renewal processes or non-homogeneous Poisson processes. In addition to these models, geometric processes (GP) are studied occasionally. The GP, however, can only model systems with monotonously changing (increasing, decreasing or constant) failure intensities. This paper deals with the reliability modelling of failure processes for repairable systems where the failure intensity shows a bathtub-type non-monotonic behaviour. A new stochastic process, i.e. an extended Poisson process, is introduced in this paper. Reliability indices are presented, and the parameters of the new process are estimated. Experimental results on a data set demonstrate the validity of the new process.