Sökning: "lokal volatilitet"
Hittade 4 uppsatser innehållade orden lokal volatilitet.
1. Den svenska kronans effekt på utländska fastighetsinvesteringar i Sverige : En kvalitativ studie om valutarisk
Kandidat-uppsats, KTH/Fastighetsföretagande och finansiella systemSammanfattning : Gränsöverskridande fastighetsinvesteringar har blivit allt vanligare sedan andra hälften av 1900-talet. Idag står gränsöverskridande aktörer för en relativt stor del av den årliga transaktionsvolymen i Sverige. Samtidigt har kronan under en längre tid varit svag och fluktuerat kraftigt, inte minst under senare år. LÄS MER
2. When to expect decreasing implied volatilities
Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Matematiska institutionenSammanfattning : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. LÄS MER
3. The Swap Market Model with Local Stochastic Volatility
Master-uppsats, KTH/Matematisk statistikSammanfattning : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. LÄS MER
4. Local Volatility Calibration on the Foreign Currency Option Market
Master-uppsats, Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolanSammanfattning : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). LÄS MER