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Commodity Pricing in a Discrete Markov Chain Framework

Åkerlindh, Carl (2014) In Master's Theses in Mathematical Sciences FMS820 20141
Mathematical 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:
author
Åkerlindh, Carl
supervisor
organization
course
FMS820 20141
year
type
H2 - Master's Degree (Two Years)
subject
publication/series
Master's Theses in Mathematical Sciences
report number
LUTFMS-3249-2014
ISSN
1404-6342
other publication id
2014:E25
language
English
id
4451583
date added to LUP
2014-05-28 14:18:31
date last changed
2024-10-14 14:39:16
@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}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Commodity Pricing in a Discrete Markov Chain Framework}},
  year         = {{2014}},
}