Sökning: "Implied Volatility"

Visar resultat 21 - 25 av 112 uppsatser innehållade orden Implied Volatility.

1. 21. Volatility Curves of Incomplete Markets

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Kateryna Chechelnytska; [2020-06-23]
   Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

   Sammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER

3. 22. What causes fluctuations in the exchange rate? A quantitative study on the underlying variables that affects the Swedish Krona and Euro exchange rate

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Oskar Fagerholm; Arien Haghshenas; [2020-02-18]
   Nyckelord :;

   Sammanfattning : This paper focuses on analysing the SEK/EURO exchange rate and focuses on testing if 5 specific variables chosen based on previous research affect the SEK/EURO rate. The study uses monthly data from January 2000 to September 2019, the five variables tested are Interest Rate differentials, Inflation Rate differentials, Yield Curve differentials, Implied Volatility Index and the difference in Economic Sentiment. LÄS MER

4. 23. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   Master-uppsats, KTH/Matematisk statistik

   Författare :Christopher Herron; André Zachrisson; [2020]
   Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER

5. 24. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

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

   Författare :Gustaf Gustafsson; Sebastian Gerell; [2020]
   Nyckelord :Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

   Sammanfattning : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. LÄS MER

7. 25. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

   Master-uppsats, Umeå universitet/Företagsekonomi

   Författare :Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
   Nyckelord :Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

   Sammanfattning : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. LÄS MER