Sökning: "Asset Market Simulation"

Visar resultat 1 - 5 av 25 uppsatser innehållade orden Asset Market Simulation.

  1. 1. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

    Kandidat-uppsats,

    Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
    Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

    Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER

  3. 2. Option Modelling by Deep Learning

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

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  4. 3. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rawand Sultani; [2020]
    Nyckelord :Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

    Sammanfattning : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. LÄS MER

  5. 4. The Implications of Increased Passive Investment: A Theoretical Approach

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Henrik Taro Hansson; Lisa-Maria Jonsson; [2020]
    Nyckelord :Passive Investment; Capital Markets; Market Efficiency; Asset Market Simulation;

    Sammanfattning : In this thesis, a theoretical model is constructed to assess potential implications of increased passive investment on capital market efficiency and stability. A population of active and passive investors is simulated in an artificial asset market to examine how the share of passive investment affects pricing efficiency, volatility, and comovement between assets. LÄS MER

  7. 5. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Fang; Måns Eile; [2020]
    Nyckelord :Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Sammanfattning : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. LÄS MER