Sökning: "Implied Volatility"

Visar resultat 1 - 5 av 68 uppsatser innehållade orden Implied Volatility.

  1. 1. Implied Volatility Surface Construction

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Erik Magnusson; [2018]
    Nyckelord :;

    Sammanfattning : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. LÄS MER

  2. 2. Assessing the Economic Value of Implied Volatility Estimates

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

    Författare :Johannes Ackermann; [2018]
    Nyckelord :implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER

  3. 3. 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

  4. 4. 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

  5. 5. 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

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