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Articles 31 - 43 of 43
Full-Text Articles in Physical Sciences and Mathematics
Applications Of Credit Scoring Models, Mimi Mei Ling Chong
Applications Of Credit Scoring Models, Mimi Mei Ling Chong
Electronic Thesis and Dissertation Repository
The application of credit scoring on consumer lending is an automated, objective and consistent tool which helps lenders to provide quick loan decisions. In order to apply for a loan, applicants must provide their attributes by filling out an application form. Certain attributes are then selected as inputs to a credit scoring model which generates a credit score. The magnitude of this credit score is proved to be related to the credit quality of the loan applicant. As such, it is used to determine whether the loan will be granted, and also the amount of interest being charged. Currently, little …
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Electronic Thesis and Dissertation Repository
Tropical cyclone (TC) or typhoon wind hazard and risk are significant for China. The return period value of the maximum typhoon wind speed is used to characterize the typhoon wind hazard and assign wind load in building design code. Since the historical surface observations of typhoon wind speed are often scarce and of short period, the typhoon wind hazard assessment is often carried out using the wind field model and TC track model. For a few major cities in the coastal region of mainland China, simple or approximated wind field models and a circular subregion method (CSM) have been used …
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Quantitative Techniques For Spread Trading In Commodity Markets, Mir Hashem Moosavi Avonleghi
Electronic Thesis and Dissertation Repository
This thesis investigates quantitative techniques for trading strategies on two commodities, the difference of whose prices exhibits a long-term historical relationship known as mean-reversion. A portfolio of two commodity prices with very similar characteristics, the spread may be regarded as a distinct process from the underlying price processes so deserves to be modeled directly. To pave the way for modeling the spread processes, the fundamental concepts, notions, properties of commodity markets such as the forward prices, the futures prices, and convenience yields are described. Some popular commodity pricing models including both one and two factor models are reviewed. A new …
Identification Of Informativeness In Text Using Natural Language Stylometry, Rushdi Shams
Identification Of Informativeness In Text Using Natural Language Stylometry, Rushdi Shams
Electronic Thesis and Dissertation Repository
In this age of information overload, one experiences a rapidly growing over-abundance of written text. To assist with handling this bounty, this plethora of texts is now widely used to develop and optimize statistical natural language processing (NLP) systems. Surprisingly, the use of more fragments of text to train these statistical NLP systems may not necessarily lead to improved performance. We hypothesize that those fragments that help the most with training are those that contain the desired information. Therefore, determining informativeness in text has become a central issue in our view of NLP. Recent developments in this field have spawned …
Estimation Of Hidden Markov Models And Their Applications In Finance, Anton Tenyakov
Estimation Of Hidden Markov Models And Their Applications In Finance, Anton Tenyakov
Electronic Thesis and Dissertation Repository
Movements of financial variables exhibit extreme fluctuations during periods of economic crisis and times of market uncertainty. They are also affected by institutional policies and intervention of regulatory authorities. These structural changes driving prices and other economic indicators can be captured reasonably by models featuring regime-switching capabilities. Hidden Markov models (HMM) modulating the model parameters to incorporate such regime-switching dynamics have been put forward in recent years, but many of them could still be further improved. In this research, we aim to address some of the inadequacies of previous regime-switching models in terms of their capacity to provide better forecasts …
Computing And Approximation Methods For The Distribution Of Multivariate Aggregate Claims, Tao Jin
Computing And Approximation Methods For The Distribution Of Multivariate Aggregate Claims, Tao Jin
Electronic Thesis and Dissertation Repository
Insurance companies typically face multiple sources (types) of claims. Therefore, modeling dependencies among different types of risks is extremely important for evaluating the aggregate claims of an insurer. In the first part of this thesis, we consider three classes of bivariate counting distributions and the corresponding compound distributions introduced in a 1996 paper by Hesselager. We implement the recursive methods for computing the joint probability functions derived by Hesselager and then compare the results with those obtained from fast Fourier transform (FFT) methods. In applying the FFT methods, we extend the concept of exponential tilting for univariate FFT proposed by …
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Electronic Thesis and Dissertation Repository
In this paper, we examine the pricing and hedging of an index option where one constituents stock plays an overly dominant role in the index. Under a Geometric Brownian Motion assumption we compare the distribution of the relative value of the index if the dominant stock is modeled separately from the rest of the index, or not. The former is equivalent to the relative index value being distributed as the sum of two lognormal random variables and the latter is distributed as a single lognormal random variable. Since these are not equal in distribution, we compare the two models. The …
Modelling Credit Value Adjustment Using Defaultable Options Approach, Sidita Zhabjaku
Modelling Credit Value Adjustment Using Defaultable Options Approach, Sidita Zhabjaku
Electronic Thesis and Dissertation Repository
This thesis calculates Credit Value Adjustment on defaultable options. The prices of default- able European options are computed through analytical, quadrature approximation and Monte Carlo simulations under the assumption of a constant rate of default. Subsequently, we propose to inversely relate the company’s instantaneous rate of default to its underlying stock price, re- sulting in a non-constant rate of default. This allows for a new approach to estimate the default of company different from previous work where default is calculated through historical data. The rationale behind this idea relies on the fact that price of the stock plunges before the …
Seasonal Decomposition For Geographical Time Series Using Nonparametric Regression, Hyukjun Gweon
Seasonal Decomposition For Geographical Time Series Using Nonparametric Regression, Hyukjun Gweon
Electronic Thesis and Dissertation Repository
A time series often contains various systematic effects such as trends and seasonality. These different components can be determined and separated by decomposition methods. In this thesis, we discuss time series decomposition process using nonparametric regression. A method based on both loess and harmonic regression is suggested and an optimal model selection method is discussed. We then compare the process with seasonal-trend decomposition by loess STL (Cleveland, 1979). While STL works well when that proper parameters are used, the method we introduce is also competitive: it makes parameter choice more automatic and less complex. The decomposition process often requires that …
A New Diagnostic Test For Regression, Yun Shi
A New Diagnostic Test For Regression, Yun Shi
Electronic Thesis and Dissertation Repository
A new diagnostic test for regression and generalized linear models is discussed. The test is based on testing if the residuals are close together in the linear space of one of the covariates are correlated. This is a generalization of the famous problem of spurious correlation in time series regression. A full model building approach for the case of regression was developed in Mahdi (2011, Ph.D. Thesis, Western University, ”Diagnostic Checking, Time Series and Regression”) using an iterative generalized least squares algorithm. Simulation experiments were reported that demonstrate the validity and utility of this approach but no actual applications were …
Persistence And Anti-Persistence: Theory And Software, Justin Quinn Veenstra
Persistence And Anti-Persistence: Theory And Software, Justin Quinn Veenstra
Electronic Thesis and Dissertation Repository
Persistent and anti-persistent time series processes show what is called hyperbolic decay. Such series play an important role in the study of many diverse areas such as geophysics and financial economics. They are also of theoretical interest. Fractional Gaussian noise (FGN) and fractionally-differeneced white noise are two widely known examples of time series models with hyperbolic decay. New closed form expressions are obtained for the spectral density functions of these models. Two lesser known time series models exhibiting hyperbolic decay are introduced and their basic properties are derived. A new algorithm for approximate likelihood estimation of the models using frequency …
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Electronic Thesis and Dissertation Repository
The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility …
Real Options Models In Real Estate, Jin Won Choi
Real Options Models In Real Estate, Jin Won Choi
Electronic Thesis and Dissertation Repository
Our aim in this thesis is to investigate the usefulness of real options analysis, taking case studies of problems in real estate. In the realm of real estate, we consider the following three problems. First, we consider the valuation and usefulness of presale contracts of condominiums, which can be viewed as similar to call options on condominiums. Secondly, we consider the valuation of farm land from the perspective of land developers, who may think of farm land as being similar to call options on subdivision lots. Third, we consider the valuation of opportunities to install solar panels on properties, in …