Sökning: "Local Volatility"

Visar resultat 11 - 15 av 43 uppsatser innehållade orden Local Volatility.

  1. 11. Patterns of interorganizational collaboration in disaster risk reduction: Evidence from Swedish municipalities

    Master-uppsats, Uppsala universitet/Statsvetenskapliga institutionen

    Författare :Linnea Burke Rolfhamre; [2019]
    Nyckelord :Disaster risk reduction; collaborative governance; local-level; Sweden; SFS 2006:544;

    Sammanfattning : Prevention, mitigation and response to large scale disasters is complex. It is widely argued that collaboration is a necessary component of successful disaster risk reduction (DRR). However, there are also significant challenges associated with collaboration for DRR. LÄS MER

  3. 12. 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

  4. 13. The relationship between foreign direct investments and exchange rates - A quantitative analysis of how the exchange rate is affecting the FDI inflows in South Korea and China

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

    Författare :Viktor Lindström; Erik Sten; [2018-06-26]
    Nyckelord :Foreign direct investments referred to as FDI ; real effective exchange rate; volatility; real interest rate; appreciation; depreciation;

    Sammanfattning : This study investigates the effect of exchange rate movements on foreign direct investment (FDI) inflows. According to previous studies, it seems to be a significant correlation between exchange rate movements and the FDI inflows. However, the result differs depending on different factors and motives. LÄS MER

  5. 14. Big Data Strategies - Worth the Hype?

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Ksenia Parviainen; [2018]
    Nyckelord :google; big data; stock market prediction; SVI;

    Sammanfattning : This paper combines studies around investor attention, equity home bias puzzle and gradual diffusion of local information hypothesis. I study whether Google's Search Volume Index (SVI) has the ability to predict abnormal returns, volatility and liquidity on an industry level. LÄS MER

  7. 15. Financial integration and international asset pricing of Chinese stock markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Ho Wai NG; Weiwei Zhu; [2018]
    Nyckelord :Financial integration; International asset pricing; Emerging Market Finance;

    Sammanfattning : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. LÄS MER