Sökning: "Asset classes"

Visar resultat 21 - 25 av 95 uppsatser innehållade orden Asset classes.

  1. 21. Implied volatility with HJM–type Stochastic Volatility model

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

    Författare :Thi Diu Cap; [2021]
    Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

    Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

  3. 22. Riskjusterad avkastning och korrelation : En jämförelse mellan en aktieinvestering och en fastighetsinvestering

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

    Författare :Pauline Götesson; Savannah Åstrand; [2021]
    Nyckelord :Risk-adjusted return; correlation; stock investment; real estate investment; Riskjusterad avkastning; korrelation; aktieinvestering; fastighetsinvestering;

    Sammanfattning : Bakgrund: Både aktieinvesteringar samt fastighetsinvesteringar har blivit populära investeringsalternativ hos den svenska befolkningen. Låga bostadsräntor och nya förmånliga aktiesparformer har bidragit till ett gynnsamt investeringsklimat på både fastighetsmarknaden och aktiemarknaden. LÄS MER

  4. 23. The Impact of Inflation on Capital Rotation in Inflationary Inflection Points : An Investigation on How Inflation Affects Capital Rotation Between Major Market Sectors as Economies Shift from Disinflation to Reflation

    Kandidat-uppsats, Jönköping University/IHH, Nationalekonomi; Jönköping University/IHH, Nationalekonomi, Finansiering och Statistik

    Författare :Lars Lucas Philip Hansson; Lukas Berzups; [2021]
    Nyckelord :Inflation; Inflation Cycles; Reflation; Rising Inflation; Decreasing Inflation; Disinflation; Capital Rotation; Capital Cycles; Inflection points; Interest Rates;

    Sammanfattning : There has been a multi-decade disinflationary period that, with the conjunction of recent pandemic-related events, led to extremes in various economic metrics: record lowest interest rates and inflation, increasingly loose monetary and fiscal policies leading to severe debt levels and money supply - all resulting in a multi-front pressure on inflation to start increasing, and after 30 years, for economic environments to reach an inflection point from disinflation to reflation. How would various market sectors perform if suddenly inflation starts to surge? Previous research of similar events, such as in the 1970s, as well as theory, points towards certain market sectors and asset classes, such as commodities, to outperform their peers. LÄS MER

  5. 24. Estimating expected shortfall using an unconditional peaks-over-threshold method under an extreme value approach

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Rikard Wahlström; [2021]
    Nyckelord :expected shortfall; peaks-over-threshold; extreme value theory;

    Sammanfattning : Value-at-Risk (VaR) has long been the standard risk measure in financial risk management. However, VaR suffers from critical shortcomings as a risk measure when it comes to quantifying the most severe risks, which was made especially apparent during the financial crisis of 2007–2008. LÄS MER

  7. 25. Bitcoin is not the New Gold: Evidence from the Covid-19 Pandemic

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Katja Rasic; [2021]
    Nyckelord :Bitcoin; Safe haven; Gold; ARCH; Covid-19; Business and Economics;

    Sammanfattning : The recent market turmoil, caused by the Covid-19 pandemic, has negatively influenced the financial markets all over the world. Therefore, the search for safe haven assets by investors is of great importance. In this area of research, gold has for a long time been considered to be the traditional safe haven asset. LÄS MER