Sökning: "Nikkei"

Visar resultat 1 - 5 av 13 uppsatser innehållade ordet Nikkei.

  1. 1. 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

  3. 2. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Axel Löveråsen; Erik Tyrsing; [2021]
    Nyckelord :Bitcoin; Gold; Hedge; Volatility; Portfolio Analysis; Business and Economics;

    Sammanfattning : Over the recent years the interest in cryptocurrencies and Bitcoin has increased significantly. The price of Bitcoin has gone up substantially since the end of 2020 and more individual and institutional investors are incorporating Bitcoin to their portfolio. LÄS MER

  4. 3. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

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

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Sammanfattning : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. LÄS MER

  5. 4. Implied Volatility Surface Construction

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Erik Magnusson; [2018]
    Nyckelord :;

    Sammanfattning : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. LÄS MER

  7. 5. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Robert Constantin; Denis Gerzic; [2018]
    Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER