Sökning: "Stochastic volatility model"

Visar resultat 1 - 5 av 61 uppsatser innehållade orden Stochastic volatility model.

  1. 1. A Utility Approach: Strategy Analysis and Optimization

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Magnús Ólafur Sigurdsson; [2019]
    Nyckelord :Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Sammanfattning : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. LÄS MER

  2. 2. Times Series Analysis of Calibrated Parameters of Two-factor Stochastic Volatility Model

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

    Författare :Renato Rios Benavides; [2019]
    Nyckelord :;

    Sammanfattning : Stochastic volatility models have become essential for financial modelling and forecasting. The present thesis works with a two-factor stochastic volatility model that is reduced to four parameters. LÄS MER

  3. 3. Asymptotic results for American option prices under extended Heston model

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

    Författare :Veronica Teri; [2019]
    Nyckelord :American options; Stochastic Volatility; Extended Heston model; Fast mean–reversion volatility; Asymptotic expansion; Average Volatility;

    Sammanfattning : In this thesis, we consider the pricing problem of an American put option. We introduce a new market model for the evolution of the underlying asset price. Our model adds a new parameter to the well known Heston model. Hence we name our model the extended Heston model. LÄS MER

  4. 4. The Calibrated SSVI Method - Implied Volatility Surface Construction

    Master-uppsats, KTH/Matematisk statistik

    Författare :Adam Öhman; [2019]
    Nyckelord :Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Sammanfattning : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. LÄS MER

  5. 5. Particle-based Stochastic Volatility in Mean model

    Master-uppsats, KTH/Matematisk statistik

    Författare :Gustav Kövamees; [2019]
    Nyckelord :Stochastic volatility model; Volatility feedback theory; hidden Markov model; particle filter; Expectation-Maximization algorithm; PaRIS-algorithm; Stokastisk volatilitets modell; dold Markov modell; partikel-filter; Förväntan-Maximering algorithm; PaRIS-algoritm; volatilitets-återkopplings-teori;

    Sammanfattning : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. LÄS MER