Sökning: "arbitrage pricing"

Visar resultat 31 - 35 av 45 uppsatser innehållade orden arbitrage pricing.

  1. 31. Arbitrage-free market models for interest rate options and future options: the multi-strike case

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Författare :Hui Ye; Anastasia Ellanskaya; [2010]
    Nyckelord :Financial Mathem; atics; arbitrage-free market; interest rate options; multy-strike case;

    Sammanfattning : This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. LÄS MER

  3. 32. An Analysis of Exchange Rate Variability and Stock Returns : A Swedish Perspective

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Nixon Nebaneh; Shella Ndobe; [2010]
    Nyckelord :Exchange rate variability; stock returns; macroeconomic variables; OMX; Large cap; Mid cap and Small cap;

    Sammanfattning : The emergence of capital markets in Asia and South America, the relaxation of foreign capital controls and the adoption of flexible exchange rate regimes has prompted heavy cross-border investments in recent years.  Simultaneously, volatility in these foreign exchange markets has increased, leading to increased risk following the adoption of these flexible exchange regimes. LÄS MER

  4. 33. Zero impact or zero reliability? : An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rate

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Ackis Grammenidis; Anna Fattor; [2009]
    Nyckelord :Capital Asset Pricing Model; Risk-free interest rate; Portfolio Theory; Empirical Test on CAPM; Arbitrage Pricing Theory; Stock’s prices;

    Sammanfattning : 1.3. Research Questions. With this in mind, the research questions of this work are: 1. LÄS MER

  5. 34. A Study on Exchange Rate Exposure of Chinese Banks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Juan Li; Susan Delport; [2009]
    Nyckelord :APT; Chinese Banks; RMB; exchange rate exposure; foreign exchange risk; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : For banks to adjust to the changing financial environment, it is essential to understand how the foreign exchange market impacts them. The purpose of this master thesis is to evaluate the effect of exchange rates movement on fourteen listed Chinese banks’ equity returns, by using the Arbitrage Pricing Theory Model. LÄS MER

  7. 35. Finns det möjlighet till arbitrage på VINX30 aktieindexoptioner? : en empirisk undersökning

    Kandidat-uppsats, Institutionen för teknik och samhälle

    Författare :Thomas Lindström; Cecilia Stenkvist; [2008]
    Nyckelord :Market efficiency; arbitrage; put-call parity; Effektiva marknader; arbitrage; köp-säljparitet;

    Sammanfattning : Optioner är ett instrument som investerare kan använda för att spekulera i framtida upp-eller nedgångar på olika tillgångar. Om dessa optioner är felprissatta finns det möjlighet att göra riskfria vinster med hjälp av Stolls köp-säljparitet. LÄS MER