Sökning: "Stokastisk volatilitet."

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Stokastisk volatilitet..

  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. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Olof Hummelgren; [2022]
    Nyckelord :fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER

  4. 3. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER

  5. 4. How Many Stocks Should You Buy? A Simulation Study on Portfolio Diversification for the Swedish Stock Market

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Antonio Prgomet; [2021]
    Nyckelord :Portfolio Diversication; Modern Portfolio Theory; Quantitative Finance; Return Distributions; Shortfall Risk; Stochastic Dominance; Simulation Study.; Mathematics and Statistics;

    Sammanfattning : For every stock investor, the question of how many stocks to buy is fundamental. The recommendations from the literature is wide and ranges from 10 to over 300. As a contrast, 41.79% of Swedish shareholders held only one stock in year 2020. LÄS MER

  7. 5. Forward start options in Heston model

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Henrik Sandler; [2021]
    Nyckelord :Heston; Forward start; Cliquet; Affine jump process; Forward Kolmogorov equation; Backward Kolmogorov equation.; Mathematics and Statistics;

    Sammanfattning : En undersökning om stokastisk volatilitet för Forward start optioner, kan också användas för cliquet- optioner. Heston parameteriseringen användes. Det är i klassen AJD, av Duffie-Pan- Singleton.. LÄS MER