Sökning: "Stochastic Volatility"

Visar resultat 1 - 5 av 74 uppsatser innehållade orden Stochastic Volatility.

  1. 1. Volatility Forecasting An Empirical Study on Bitcoin Using Garch and Stochastic Volatility models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hugo Hultman; [2018]
    Nyckelord :Volatility forecasting; Stochastic volatility; GARCH; Bitcoin; Business and Economics;

    Sammanfattning : Cryptocurrencies are on the rise, with new financial assets, new frameworks need to be developed. This thesis sets out to the examine the GARCH(1,1), the bivariate-BEKK(1,1), and the Standard stochastic volatility model’s volatility forecasting performance on BTC/USD, where the bivariate model is estimated on both BTC/USD and ETH/USD closing price data. LÄS MER

  2. 2. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Nathaniel Ahy; Mikael Sierra; [2018]
    Nyckelord :Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Sammanfattning : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. 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. Pumpvattenkraft och annan storskalig energilagring i Sverige - Ekonomiska förutsättningar till år 2030

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Ekosystemteknik (CI); Lunds universitet/Miljö- och energisystem

    Författare :Arvid Rensfeldt; [2017]
    Nyckelord :Energilager; pumpvattenkraft; förnybar energi; energisystem; simulering; framtidsscenarier; Technology and Engineering;

    Sammanfattning : All around the world, energy systems are transforming at the international, national and regional level and at a rate not seen for many decades. This transformation primarily involves a transition away from fossil, non-renewable energy sources and to fossil-free, renewable ones with the primary purpose of halting the process of anthropological climate change and limiting other adverse effects on the environment. LÄS MER

  5. 5. Forecasting Non-Maturing Liabilities

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Adrian Ahmadi-Djam; Sean Belfrage Nordström; [2017]
    Nyckelord :;

    Sammanfattning : With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. LÄS MER


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