Sökning: "mean reverting processes"

Hittade 5 uppsatser innehållade orden mean reverting processes.

  1. 1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Benjamin Neander; Victor Mattson; [2023]
    Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

  3. 2. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Jedra Yassir; [2018]
    Nyckelord :Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Sammanfattning : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. LÄS MER

  4. 3. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Nyckelord :Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Sammanfattning : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. LÄS MER

  5. 4. Does PPP hold in the long run? An empirical approach using wavelets.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Berger; [2012]
    Nyckelord :Fractionally Integrated Processes; Wavelets; Time Series Analysis; Purchasing Power Parity; Long Run Memory; Business and Economics;

    Sammanfattning : This paper contributes to the debate as to whether or not Purchasing Power Parity (PPP) holds in the long run. This is done by looking at fractionally integrated processes (FIP) and using wavelets in order to obtain an Ordinary Least Squares (OLS) estimate of the long run memory parameter. LÄS MER

  7. 5. Change point detection in an Ornstein-Uhlenbeck process (a reflection of trading in financial markets)

    Master-uppsats, Blekinge Tekniska Högskola/Sektionen för ingenjörsvetenskap

    Författare :Adetokunbo Ibukun FADAHUNSI; [2010]
    Nyckelord :Change-point detection; Stopping rules; Ornstein-Uhlenbeck process; Volatility; Alarm function; Financial Markets.;

    Sammanfattning : The financial market has become an area of increasing research interest for mathematicians and statisticians in recent years. Mathematical models and methods are increasingly being applied to study various parameters of the market. One of the parameters that have attracted lots of interest is `volatility'. LÄS MER