Sökning: "arbitrage pricing"
Visar resultat 11 - 15 av 45 uppsatser innehållade orden arbitrage pricing.
11. Implied Volatility Surface Construction
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysikSammanfattning : 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
12. The Effectiveness of Fundamental Analysis on Value Stocks – an Analysis of Piotroski’s F-score
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
13. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER
14. On-Line Market Microstructure Prediction Using Hidden Markov Models
Master-uppsats, KTH/Matematisk statistikSammanfattning : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. LÄS MER
15. The Effect of Bond Convexity in Abnormal Volatility
Kandidat-uppsats,Sammanfattning : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. LÄS MER