Sökning: "low volatility effect"

Visar resultat 16 - 20 av 43 uppsatser innehållade orden low volatility effect.

1. 16. Interest Rate Volatility and its Effect on Interest Rate Options

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

   Författare :Jacqueline Eriksson; Jakob Sundblad; [2020]
   Nyckelord :Interest Rates Regimes; Volatility; Derivatives; Interest Rate Options; Asset Pricing;

   Sammanfattning : This paper replicates the study conducted by Guillaume et. al (2013) and derives a relationship between the interest rate volatility and the interest rate level for the Swedish currency (SEK). The results suggest interest rates to be divided into three different regimes consisting of low, intermediate and high rates. LÄS MER

3. 17. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :John Erikmats; Johan Sjösten; [2019]
   Nyckelord :ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

   Sammanfattning : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. LÄS MER

4. 18. The Impact of Leverage on Return-Volatility Relationship -An Empirical Study of the Nordic Equity Markets

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jenny Ha Nguyen; [2018-07-04]
   Nyckelord :Risk-return relation; low volatility effect; leverage; volatility; Nordic stock market; Fama-French three factors;

   Sammanfattning : Prior studies have documented mixed evidence regarding the relationship between stock returns and equity return volatilities. The purpose of this thesis is to contribute to the debate about the direction of the risk-return relationship and to seek further explanation for this phenomenon. The aim of this thesis is therefore two-fold. LÄS MER

5. 19. Anticipated Events’ Impact on FX Options’ Implied Volatility

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Frej Håkansson; Björn Nilsson; [2018]
   Nyckelord :Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

   Sammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER

7. 20. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Malin Fredriksson; [2018]
   Nyckelord :Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

   Sammanfattning : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. LÄS MER