Sökning: "volatility model valuation"

Visar resultat 1 - 5 av 41 uppsatser innehållade orden volatility model valuation.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lucas Fageräng; Hugo Thoursie; [2023]
    Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

  3. 2. Segmentation and Valuation in  Stockholm Housing Market : Spatial Continuous and Discontinuous Submarkets Evaluating by Hedonic Price Model and XGBoost Model

    Master-uppsats, KTH/Fastighetsekonomi och finans

    Författare :Xianglin Sun; [2023]
    Nyckelord : housing market segmentation ; spatial continuity ; hedonic price model ; XGBoost model ; segmentering av bostadsmarknaden ; rumslig kontinuitet ; hedonisk prismodell ; XGBoost modell ;

    Sammanfattning : The housing market segmentation could provide a reference for more targeted policymaking and investment strategies. Although there have been many studies, there are no consistent submarkets delineating methods because of a lack of theoretical support and subjective evaluation. In this paper, two market segmentation methods are introduced. LÄS MER

  4. 3. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

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

    Författare :Eduardo Alberto Alcantara Martinez; [2023]
    Nyckelord :Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

    Sammanfattning : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. LÄS MER

  5. 4. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

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

    Författare :Casper Dahlberg; Max Lundberg; [2022]
    Nyckelord :Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

    Sammanfattning : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. LÄS MER

  7. 5. Listed Property Company Valuation

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

    Författare :Marcus Runström; Ludvig Eksandh; [2022]
    Nyckelord :Listed Swedish property companies; Closed-end fund puzzle; Noise trader model; NAV premium and discount; Property company valuation;

    Sammanfattning : Among stock market participants, the existence and persistence of deviations between a property company's market capitalization and Net Asset Value are well-recognized. This deviation has a clear link to the premiums and discounts to NAV of closed-end funds, which is referred to as the closed-end fund puzzle in financial economics. LÄS MER