Sökning: "Arbitrage pricing"

Visar resultat 11 - 15 av 45 uppsatser innehållade orden Arbitrage pricing.

  1. 11. 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

  3. 12. The Effectiveness of Fundamental Analysis on Value Stocks – an Analysis of Piotroski’s F-score

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Staffan Bülow; [2017]
    Nyckelord :F-score; Fundamental Analysis; Value Stocks; Abnormal Returns; Market Efficiency; Behavioral Finance; Business and Economics;

    Sammanfattning : In an efficient market, assets reflect all available information. Hence, investors cannot earn abnormal returns by conducting fundamental analysis since all financial data is impounded in the asset. The only way for an investor to earn higher returns is by incurring increased risk. LÄS MER

  4. 13. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Adnan Berberovic; Alexander Eriksson; [2017]
    Nyckelord :finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER

  5. 14. On-Line Market Microstructure Prediction Using Hidden Markov Models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Måns Tillman; [2017]
    Nyckelord :;

    Sammanfattning : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. LÄS MER

  7. 15. The Effect of Bond Convexity in Abnormal Volatility

    Kandidat-uppsats,

    Författare :Adam Prinselaar; Johan Särén; [2016-07-06]
    Nyckelord :Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

    Sammanfattning : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. LÄS MER