Sökning: "Implied Volatility"

Visar resultat 1 - 5 av 66 uppsatser innehållade orden Implied Volatility.

  1. 1. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Carmelid; [2017]
    Nyckelord :;

    Sammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER

  3. 3. Parametric Value-at-Risk in Leptokurtic Distributions

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Lulu Valevie; Patrik Essunger; [2017]
    Nyckelord :Value-at-Risk; Leptokurtic; Student s t-distribution; Currencies; Commodities;

    Sammanfattning : Value-at-risk offers a quick estimate of the market risk exposure inherent in an asset or portfolio. A wide range of value-at-risk methods exist, which differ slightly in the estimation procedures and their assumptions. LÄS MER

  4. 4. Constructing a Volatility Risk Premium Using Gaussian Process for Regression

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Fabian Mally; Love Marcus; [2017]
    Nyckelord :Volatility Risk Premium; Gaussian Process; GARCH; Volatility Prediction; Implied Volatility;

    Sammanfattning : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. LÄS MER

  5. 5. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Nicklas Rehnby; [2017]
    Nyckelord :option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER


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