Sökning: "Volatility"

Visar resultat 1 - 5 av 919 uppsatser innehållade ordet Volatility.

  1. 1. What causes fluctuations in the exchange rate? A quantitative study on the underlying variables that affects the Swedish Krona and Euro exchange rate

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

    Författare :Oskar Fagerholm; Arien Haghshenas; [2020-02-18]
    Nyckelord :;

    Sammanfattning : This paper focuses on analysing the SEK/EURO exchange rate and focuses on testing if 5 specific variables chosen based on previous research affect the SEK/EURO rate. The study uses monthly data from January 2000 to September 2019, the five variables tested are Interest Rate differentials, Inflation Rate differentials, Yield Curve differentials, Implied Volatility Index and the difference in Economic Sentiment. LÄS MER

  2. 2. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Danny Zina; [2020]
    Nyckelord :Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Sammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER

  3. 3. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  4. 4. Analysis of Requirements Volatility in Elicitation Process : A Systematic Literature Review & Survey

    Master-uppsats, Blekinge Tekniska Högskola/Institutionen för programvaruteknik; Blekinge Tekniska Högskola/Institutionen för programvaruteknik

    Författare :Sri Sai Ripughna Rishitosh Sonti; Anil Ganna; [2020]
    Nyckelord :Requirements Elicitation; Requirements Volatility; Elicitation Techniques; Software Development Lifecycle.;

    Sammanfattning : Context: In the requirements engineering phase, requirements elicitation is considered as the most important task as it is the initial phase in which the requirements are gathered and prioritised. Changes in requirements may lead to project failure or delay in project deliveries. LÄS MER

  5. 5. When to expect decreasing implied volatilities

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Matematiska institutionen

    Författare :Tobias Nordahl; [2020]
    Nyckelord :finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

    Sammanfattning : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. LÄS MER