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In an undirected graph G we associate costs and weights to each edge. The weight-constrained minimum spanning tree problem is to find a spanning tree of total edge weight at most a given value W and minimum total costs under this restriction. In this thesis a literature overview on this NP-hard problem, theoretical properties concerning the convex hull and the Lagrangian relaxation are given. We present also some in- and exclusion-test for this problem. We apply a ranking algorithm and the method of approximation through decomposition to our problem and design also a new branch and bound scheme. The numerical results show that this new solution approach performs better than the existing algorithms.
The scope of this diploma thesis is to examine the four generations of asset pricing models and the corresponding volatility dynamics which have been devepoled so far. We proceed as follows: In chapter 1 we give a short repetition of the Black-Scholes first generation model which assumes a constant volatility and we show that volatility should not be modeled as constant by examining statistical data and introducing the notion of implied volatility. In chapter 2, we examine the simplest models that are able to produce smiles or skews - local volatility models. These are called second generation models. Local volatility models model the volatility as a function of the stock price and time. We start with the work of Dupire, show how local volatility models can be calibrated and end with a detailed discussion of the constant elasticity of volatility model. Chapter 3 focuses on the Heston model which represents the class of the stochastic volatility models, which assume that the volatility itself is driven by a stochastic process. These are called third generation models. We introduce the model structure, derive a partial differential pricing equation, give a closed-form solution for European calls by solving this equation and explain how the model is calibrated. The last part of chapter 3 then deals with the limits and the mis-specifications of the Heston model, in particular for recent exotic options like reverse cliquets, Accumulators or Napoleons. In chapter 4 we then introduce the Bergomi forward variance model which is called fourth generation model as a consequence of the limits of the Heston model explained in chapter 3. The Bergomi model is a stochastic local volatility model - the spot price is modeled as a constant elasticity of volatility diffusion and its volatility parameters are functions of the so called forward variances which are specified as stochastic processes. We start with the model specification, derive a partial differential pricing equation, show how the model has to be calibrated and end with pricing examples and a concluding discussion.
Tropical geometry is a very new mathematical domain. The appearance of
tropical geometry was motivated by its deep relations to other mathematical
branches. These include algebraic geometry, symplectic geometry, complex
analysis, combinatorics and mathematical biology.
In this work we see some more relations between algebraic geometry and
tropical geometry. Our aim is to prove a one-to-one correspondence between
the divisor classes on the moduli space of n-pointed rational stable curves
and the divisors of the moduli space of n-pointed abstract tropical curves.
Thus we state some results of the algebraic case first. In algebraic geometry
these moduli spaces are well understood. In particular, the group of divisor
classes is calculated by S. Keel. We recall the needed results in chapter one.
For the proof of the correspondence we use some results of toric geometry.
Further we want to show an equality of the Chow groups of a special toric
variety and the algebraic moduli space. Thus we state some results of the
toric geometry as well.
This thesis tries to discover some connection between algebraic and tropical
geometry. Thus we also need the corresponding tropical objects to the
algebraic objects. Therefore we give some necessary definitions such as fan,
tropical fan, morphisms between tropical fans, divisors or the topical moduli
space of all n-marked tropical curves. Since we need it, we show that the
tropical moduli space can be embedded as a tropical fan.
After this preparatory work we prove that the group of divisor classes in
v
classical algebraic geometry has it equivalence in tropical geometry. For this
it is useful to give a map from the group of divisor classes of the algebraic
moduli space to the group of divisors of the tropical moduli space. Our aim is
to prove the bijectivity of this map in chapter three. On the way we discover
a deep connection between the algebraic moduli space and the toric variety
given by the tropical fan of the tropical moduli space.