This thesis presents and compares the performance of two recently developed classification methods namely the Spatial Stagewise Aggregation procedure and Support Vector Machines. Both techniques are convenient for the ...

In this master thesis a mechanism to test mononicity of empirical pricing kernels (EPK) is presented. By testing monotonicity of pricing kernel we can determine whether utility function is concave or not. Strictly decreasing ...

The feature of several underlying assets requires traders to incorporate the correlation matrix of underlying assets in multi-asset equity options pricing. In this thesis, Monte Carlo simulation methods are used in order ...