Sökning: "Markov-switching framework"

Hittade 5 uppsatser innehållade orden Markov-switching framework.

1. 1. Option Pricing Under the Markov-switching Framework Defined by Three States

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

   Författare :Minna Castoe; Teo Raspudic; [2020]
   Nyckelord :Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

   Sammanfattning : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. LÄS MER

3. 2. Assessing the Economic Value of Implied Volatility Estimates

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

   Författare :Johannes Ackermann; [2018]
   Nyckelord :implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

   Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER

4. 3. A Black-Litterman portfolio allocation model combined with a Markov switching framework

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Axel Skantze; [2018]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. LÄS MER

5. 4. Estimating the Swedish Phillips Relationship in a Markov-Switching Vector Autoregression

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Svante Midander; Sebastjan Wassermeyer; [2015]
   Nyckelord :Markov-switching; Phillips curve; Vector autoregression; Inflation expectations; Non-linear time series models;

   Sammanfattning : The Swedish Phillips relationship was recently examined by Svensson (2015), who found that the long-run trade-off is downward-sloping. Hence, there is an unemployment cost of inflation. He argues that this has occurred because inflation expectations are anchored to the inflation target, while average inflation has deviated from the target. LÄS MER

7. 5. Modelling Power Spikes with Inhomogeneous Markov-Switching Models

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Vicke Norén; [2013]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : Interest in modelling electricity prices has, despite its relatively short history, resulted in widespread types of models that tend to be too intricate to incorporate most price characteristics. This thesis pursues a flexible approach that comprehends stylized facts of electricity prices while it still handles complexity in order to facilitate calibration and forecasting. LÄS MER