Sökning: "Futures Contracts"

Visar resultat 16 - 20 av 60 uppsatser innehållade orden Futures Contracts.

  1. 16. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Dackner; Linus Falk; [2019]
    Nyckelord :;

    Sammanfattning : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. LÄS MER

  3. 17. Bayesian Neural Networks for Financial Asset Forecasting

    Master-uppsats, KTH/Matematisk statistik

    Författare :Alexander Back; William Keith; [2019]
    Nyckelord :Bayesian neural networks; variational inference; Markov chain Monte Carlo; dropout; systematic trading; futures contracts; Bayesianska neurala nätverk; variational inference; Markov chain Monte Carlo; dropout; systematisk trading; terminskontrakt;

    Sammanfattning : Neural networks are powerful tools for modelling complex non-linear mappings, but they often suffer from overfitting and provide no measures of uncertainty in their predictions. Bayesian techniques are proposed as a remedy to these problems, as these both regularize and provide an inherent measure of uncertainty from their posterior predictive distributions. LÄS MER

  4. 18. Recurrent neural networks for financial asset forecasting

    Master-uppsats, KTH/Matematisk statistik

    Författare :Gustaf Tegnér; [2018]
    Nyckelord :;

    Sammanfattning : The application of neural networks in finance has found renewed interest in the past few years. Neural networks have a proven capability of modeling non-linear relationships and have been proven widely successful in domains such as image and speech recognition. LÄS MER

  5. 19. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?

    Master-uppsats, SLU/Dept. of Economics

    Författare :Moa Duvhammar; [2018]
    Nyckelord :theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

    Sammanfattning : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. LÄS MER

  7. 20. Hedging malting barley : maximizing expected utility considering price, yield and quality risk

    Master-uppsats, SLU/Dept. of Economics

    Författare :Torgil Andersson; [2018]
    Nyckelord :expected utility; futures contracts; hedging; malting barley; quadratic risk; programming; quality risk; risk management; risk preference;

    Sammanfattning : Farmers are faced with situations with uncertain outcomes on a daily basis. Production risks stem from uncertainty about the performance of crops and the unpredictable nature of weather. Also, the markets for inputs and agricultural commodities affect the farm to a high degree. LÄS MER