Header

UZH-Logo

Maintenance Infos

Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance


Wälchli, Boris. Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance. 2015, University of Zurich, Faculty of Economics.

Abstract

This thesis considers two main subjects divided in four problems in the broad field of mathematical finance. The first chapter treats option pricing followed by three chapters on the application of the machine learning algorithm of Random Forests to finance, specifically to risk capital aggregation, portfolio optimization and macro stress testing. In all four chapters new methodologies to treat the respective subjects are developed. All proposed models are benchmarked against commonly applied methods in the respective fields and found to outperform their peers.

Abstract

This thesis considers two main subjects divided in four problems in the broad field of mathematical finance. The first chapter treats option pricing followed by three chapters on the application of the machine learning algorithm of Random Forests to finance, specifically to risk capital aggregation, portfolio optimization and macro stress testing. In all four chapters new methodologies to treat the respective subjects are developed. All proposed models are benchmarked against commonly applied methods in the respective fields and found to outperform their peers.

Statistics

Downloads

14 downloads since deposited on 20 Jan 2016
6 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Dissertation
Referees:Farkas W, Paolella Marc
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2015
Deposited On:20 Jan 2016 13:35
Last Modified:05 Apr 2016 19:58
Number of Pages:133
Other Identification Number:merlin-id:12620

Download