Sökning: "implied volatility"

Visar resultat 16 - 20 av 112 uppsatser innehållade orden implied volatility.

  1. 16. Implied volatility with HJM–type Stochastic Volatility model

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Thi Diu Cap; [2021]
    Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

    Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

  3. 17. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone

    Magister-uppsats, Umeå universitet/Nationalekonomi

    Författare :Mohammad Aljaid; [2021]
    Nyckelord :;

    Sammanfattning : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. LÄS MER

  4. 18. Factors affecting liquidity in the Nordic corporate bond market : A study on MiFiR required post trade transactions

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Lundholm Markus; [2021]
    Nyckelord :;

    Sammanfattning : The Nordic corporate bond market is a market growing in significance of the financial landscape, but is rather sparsely investigated due to its low transparency characteristics. Utilizing the new EU legislative framework MiFiR, this study implements a quantitative liquidity measure on transactions reported as required by MiFiR. LÄS MER

  5. 19. Option Pricing using Artificial Neural Networks

    Kandidat-uppsats, Lunds universitet/Beräkningsbiologi och biologisk fysik - Genomgår omorganisation

    Författare :Jan Müller; [2021]
    Nyckelord :Physics and Astronomy;

    Sammanfattning : Neural networks have an increasingly important role in the financial market, by offering a solution to stationarity and non-linearity whilst also providing robustness and predictive power. Options and option pricing are a fundamental area of interest in the daily activities of investment banks, hedge funds and trading firms in the financial market. LÄS MER

  7. 20. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Jim Domeij; Oscar Krieg; [2021]
    Nyckelord :Market Microstructure Invariance; Bid-ask spread; Liquidity; Swedish stock market; Market impact;

    Sammanfattning : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. LÄS MER