Sökning: "Financial Mathematics"

Visar resultat 16 - 20 av 171 uppsatser innehållade orden Financial Mathematics.

1. 16. Impact of Quantitative and Qualitative Parameters on Stock Performance

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Fredrik Nivre; Martin Sjöbohm; [2022]
   Nyckelord :Applied mathematics; regression analysis; financial markets; qualitative parameters; quantitative parameters; Tillämpad matematik; regressionsanalys; finansiella marknader; kvalitativa parametrar; kvantitativa parametrar;

   Sammanfattning : Stocks belonging to publicly traded companies is a topic which in society is mystified and by some considered to be an unpredictable phenomenon where you either make an economic loss or gain seemingly by chance. Despite this, there are numerous fields of work where the sole purpose is to predict the movement of stocks in order to maximize economic gain. LÄS MER

3. 17. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sigfrid Forsberg; [2022]
   Nyckelord :Markov Chain; Finance; Hidden Markov Model; Generalized Autoregressive Score Model; S P-500; Nikkei; Adaptive Model; Volatility; Regime-switching Model; Line-Search Algorithm; Predictor-Corrector; Quasi-Newton; Mathematics and Statistics;

   Sammanfattning : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. LÄS MER

4. 18. Examination of AI-based ESG-scores as a valid source of alpha in the Swedish investing landscape

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Marcus Haevaker; [2022]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : Investing based on environmental, social, and governmental (ESG) criteria has grown rapidly in recent years. The trend has been driven by both an increased interest in sustainability, and the fact that ESG related corporate events have been shown to influence stock prices. LÄS MER

5. 19. Evaluation of the decision-making process for credit decisions at Preem AB

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Annie Holgersson; Theresa Döös; [2022]
   Nyckelord :credit; applied mathematics; statistics; logistic regression; kredit; tillämpad matematik; statistik; logistisk regression;

   Sammanfattning : The purpose of the following bachelor thesis report within mathematical statistics was to evaluate the decision making process at the credit department at Preem AB. The study used a logistic regression model to find a relationship between the probability of an application for credit being accepted and some quantitative and categorical factors about the applicant. LÄS MER

7. 20. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Simon Wahlberg; [2022]
   Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER