Sökning: "implied volatility"

Visar resultat 31 - 35 av 112 uppsatser innehållade orden implied volatility.

  1. 31. Can we predict future volatility on the OMXS 30? : A quantative study on historical and implied volatility

    Magister-uppsats, Umeå universitet/Nationalekonomi

    Författare :Martin Hallberg; [2020]
    Nyckelord :;

    Sammanfattning : When making investment decisions risk is a highly important aspect to account for. Many studies have investigated how to measure risk and forecast it for an investment decision. This study takes a closer look at what forecast method is best on the Swedish index OMX Stockholm 30. During the period from January 2016 to December 2018. LÄS MER

  3. 32. Analys av kredit- och ränterisk över konjunkturcykler - En studie av amerikanska företagsobligationer

    Kandidat-uppsats,

    Författare :Simon Boström; Emil Johansson; [2019-07-09]
    Nyckelord :US Corporate bonds; Credit spread; Credit rating; Volatility; Contingent claims pricing model;

    Sammanfattning : In recent years, the market for US corporate bonds has recovered from the financial crisis in 2008. Since the credit spread is of great importance to many stakeholders, this thesis has been written with the purpose to examining the underlying factors that affect the credit spread for US corporate bonds. LÄS MER

  4. 33. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  5. 34. Times Series Analysis of Calibrated Parameters of Two-factor Stochastic Volatility Model

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

    Författare :Renato Rios Benavides; Chrysafis Bourelos; [2019]
    Nyckelord :;

    Sammanfattning : Stochastic volatility models have become essential for financial modelling and forecasting.The present thesis works with a two-factor stochastic volatility model that is reduced to four parameters. LÄS MER

  7. 35. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

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

    Författare :Davide Brugola; [2019]
    Nyckelord :single stocks; options; implied volatility skew; jumps; earnings announcements;

    Sammanfattning : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. LÄS MER