Sökning: "VIX"

Visar resultat 1 - 5 av 50 uppsatser innehållade ordet VIX.

  1. 1. The Predictive Power of Implied Volatility in Option Pricing

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lovisa Berglund; [2023]
    Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

  3. 2. An Evaluation of Leading Indicators in the Context of a Swedish Recession

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Rami Soliman; [2023]
    Nyckelord :Probit; Financial Crisis; Recession; Sweden; Leading Indicators; Business and Economics;

    Sammanfattning : The aim of this paper is to evaluate potential leading indicators of a recession in Sweden. To answer the question potential leading indicators are first identified with previous findings in literature and with the current state of the Swedish financial system as background. LÄS MER

  4. 3. A Catering Theory of Investment Policies. Do U.S. firms cater to sentiment?

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Philip Lindquist; Nicolas Nolén; [2023]
    Nyckelord :“Retail Investor Sentiment”; “FEARS Index”; “Corporate Investment Policies”; “Behavioral Corporate Finance”; “VIX”; Business and Economics;

    Sammanfattning : The purpose is to investigate retail investors’ growing influence in shaping corporate investment policies. It further seeks to understand whether firms cater to retail investor sentiment. We employ a multiple linear regression model of a strongly-balanced panel data set, incorporating fixed effects and clustered standard errors. LÄS MER

  5. 4. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

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

    Författare :Joakim Mårs; Tobias Stark; [2023]
    Nyckelord :;

    Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER

  7. 5. Run to the -sustainable- hills? An exploration of ESG fund flows in the US market in response to Flight-To-Safety periods

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonathan Rolon Acevedo; [2022]
    Nyckelord :Sustainable Finance; Fund Flows; Flight-To-Safety; Safe Haven Assets; ESG; VIX; Business and Economics;

    Sammanfattning : Funds flowing into Environmental, Social, and Governance (ESG), Non-ESG, and Precious Metal funds (as a proxy to a safe haven asset) are analyzed for 440 such funds in the United States during Flight-To-Safety (FTS) episodes to determine if investors perceive safe-haven-like properties in ESG funds by shifting funds into this group. FTS episodes represent brief rotations of funds into safer assets to preserve capital during burst of market volatility. LÄS MER