Sökning: "finans matematik"
Visar resultat 1 - 5 av 16 uppsatser innehållade orden finans matematik.
1. The Predictive Power of Implied Volatility in Option Pricing
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : 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
2. A Study on Algorithmic Trading
Kandidat-uppsats, KTH/Hälsoinformatik och logistikSammanfattning : Algorithms have been used in finance since the early 2000s and accounted for 25% of the market around 2005. In this research, algorithms account for approximately 85% of the market. The challenge faced by many investors and fund managers is beating the Swedish market index OMXS30. LÄS MER
3. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. LÄS MER
4. Market Surveillance Using Empirical Quantile Model and Machine Learning
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : In recent years, financial trading has become more available. This has led to more market participants and more trades taking place each day. The increased activity also implies an increasing number of abusive trades. To detect the abusive trades, market surveillance systems are developed and used. LÄS MER
5. SUSTAINABLE INVESTMENTS IMPACT ON FINANCIAL PERFORMANCE : A Panel Data Analysis of the Relationship Between ESG Factors and Financial Performance
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Sustainability is a broad concept where sustainability factors have become more fundamental during the recent years. However, the importance of these factors has not been as central when explaining stock returns. Thus, we perform this study with the aim to investigate the relationship between sustainability factors and financial performance. LÄS MER