Sökning: "Historisk Volatilitet"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden Historisk Volatilitet.

  1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
    Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER

  3. 2. Modelling Risk in Real-Life Multi-Asset Portfolios

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Karin Hahn; Axel Backlund; [2023]
    Nyckelord :Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

    Sammanfattning : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. LÄS MER

  4. 3. Volatilitetsprognoser på den amerikanska aktiemarknaden : En kvantitativ studie om den implicita volatilitetens prognosförmåga på realiserad volatilitet

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

    Författare :Robert Lindahl; Carl Kylberg; [2022]
    Nyckelord :Implicit volatilitet; realiserad volatilitet; optioner; handelsvolym; löptid; prognos; HAR; heterogeneous autoregressive; linjär regression;

    Sammanfattning : Bakgrund: För att kunna ta välgrundade finansiella beslut, behöver aktörer göra prognoser om vad som kommer ske i framtiden. Detta har medfört att både forskare och praktiker har byggt olika modeller som syftar till att prognostisera framtiden. LÄS MER

  5. 4. Volatility Forecasting using GARCH Processes with Exogenous Variables

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ellis Larson; [2022]
    Nyckelord :Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Sammanfattning : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. LÄS MER

  7. 5. Turnover-based Rents – A Game Changer for the Hotel Industry? : An Analysis of the Effects of a Purely Revenue-based Rent Model for Hotel Real Estate

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Leo Waern; [2021]
    Nyckelord :Hotel real estate; turnover-based rent; contract management; Hotellfastigheter; omsättningsbaserad hyra; avtalsuppföljning;

    Sammanfattning : Stockholm’s hotel market has been performing well the past 15 years, but the Covid-19 pandemic has shattered years of growth. The aim of this report has been to evaluate a purely turnover-based rent model that can increase flexibility for the hotel owners during economic crisis, while possibly increasing the value of the property and returns during good economic times. LÄS MER