Commodity Pricing in a Discrete Markov Chain Framework
(2014) FMS820 20141Mathematical Statistics
- Abstract (Swedish)
- The demand for centralised risk metric services is increasing as the regulations
and legislations in the financial market becomes stricter. In cooperation
with TriOptima a framework for such service is presented. The framework is
constructed such that parallel computation using graphical processing units
(GPUs) is possible, with the goal to obtain maximal computational speed.
The focus of this thesis is to introduce the pricing framework as well as
the procedure of extending the asset class coverage. Four models for pricing
crude oil derivatives are tested, each with different characteristics. We
have successfully presented a workflow for developing pricing models in the
computational framework introduced, with historical data and... (More) - The demand for centralised risk metric services is increasing as the regulations
and legislations in the financial market becomes stricter. In cooperation
with TriOptima a framework for such service is presented. The framework is
constructed such that parallel computation using graphical processing units
(GPUs) is possible, with the goal to obtain maximal computational speed.
The focus of this thesis is to introduce the pricing framework as well as
the procedure of extending the asset class coverage. Four models for pricing
crude oil derivatives are tested, each with different characteristics. We
have successfully presented a workflow for developing pricing models in the
computational framework introduced, with historical data and asset price dynamics
in focus. The possible weaknesses are highlighted and improvements
are proposed. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4451583
- author
- Åkerlindh, Carl
- supervisor
- organization
- course
- FMS820 20141
- year
- 2014
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 4451583
- date added to LUP
- 2014-05-28 14:18:31
- date last changed
- 2014-05-28 14:18:31
@misc{4451583, abstract = {{The demand for centralised risk metric services is increasing as the regulations and legislations in the financial market becomes stricter. In cooperation with TriOptima a framework for such service is presented. The framework is constructed such that parallel computation using graphical processing units (GPUs) is possible, with the goal to obtain maximal computational speed. The focus of this thesis is to introduce the pricing framework as well as the procedure of extending the asset class coverage. Four models for pricing crude oil derivatives are tested, each with different characteristics. We have successfully presented a workflow for developing pricing models in the computational framework introduced, with historical data and asset price dynamics in focus. The possible weaknesses are highlighted and improvements are proposed.}}, author = {{Åkerlindh, Carl}}, language = {{eng}}, note = {{Student Paper}}, title = {{Commodity Pricing in a Discrete Markov Chain Framework}}, year = {{2014}}, }