Sökning: "arbitrage pricing"

Visar resultat 1 - 5 av 38 uppsatser innehållade orden arbitrage pricing.

  1. 1. Option Modelling by Deep Learning

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

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  2. 2. Arbitrage Pricing Theory: A study on the Stockholm Stock

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

    Författare :Richard Johansson; Pierre Petersson; [2019-03-01]
    Nyckelord :Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Sammanfattning : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. LÄS MER

  3. 3. Modelling Seasonalities of HPFCs Using a Parametric Approach

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Reza Rastegar; Lucas Svantesson; [2019]
    Nyckelord :Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Sammanfattning : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). LÄS MER

  4. 4. Implied Volatility Surface Construction

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Erik Magnusson; [2018]
    Nyckelord :;

    Sammanfattning : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. LÄS MER

  5. 5. The Effectiveness of Fundamental Analysis on Value Stocks – an Analysis of Piotroski’s F-score

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Staffan Bülow; [2017]
    Nyckelord :F-score; Fundamental Analysis; Value Stocks; Abnormal Returns; Market Efficiency; Behavioral Finance; Business and Economics;

    Sammanfattning : In an efficient market, assets reflect all available information. Hence, investors cannot earn abnormal returns by conducting fundamental analysis since all financial data is impounded in the asset. The only way for an investor to earn higher returns is by incurring increased risk. LÄS MER