Sökning: "Stochastic volatility"

Visar resultat 1 - 5 av 107 uppsatser innehållade orden Stochastic volatility.

  1. 1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Benjamin Neander; Victor Mattson; [2023]
    Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

  3. 2. Unleashing Profitability: Unraveling the Labor-R&D Nexus in SaaS Tech Firms : An Analysis of the Profitability Dynamics in SaaS Tech Firms through Stochastic Frontier

    Magister-uppsats, Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Författare :prashant Atla; Noräs Salman; [2023]
    Nyckelord :Employee growth; SaaS Industries; Profitability; Technical efficiency; Stochastic Frontier Analysis; Marginal Product of Labor; Panel data Models;

    Sammanfattning : Background: High-tech's rapid growth and prioritization of expansion over profitability can lead to vulnerability in economic downturns. The SaaS market, a part of the high-tech industry, offers affordable and flexible software solutions but is also susceptible to market volatility. LÄS MER

  4. 3. The game of the electricity market : A game theoretical approach to investigate trading strategies in the Nordic electricity futures market

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Camilla Hytter; [2023]
    Nyckelord :;

    Sammanfattning : With the background of the increasing volatility in the electricity market the recent years this thesis investigates the electricity futures market and the benefit for market participants to perform some trading strategy in order to increase profit or reduce risk. By modeling the market as a stochastic game the trader acts as a player in the game and with two simple models the player can predict the probability that the market moves up or down and take the appropriate position according to the prediction. LÄS MER

  5. 4. Merton's Portfolio Problem under Jourdain--Sbai Model

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

    Författare :Sajedeh Saadat; [2023]
    Nyckelord :Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Sammanfattning : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. LÄS MER

  7. 5. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model

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

    Författare :Tara Romsäter; [2023]
    Nyckelord :Merton s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model.;

    Sammanfattning : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. LÄS MER