Sökning: "Futures prices"

Visar resultat 11 - 15 av 20 avhandlingar innehållade orden Futures prices.

  1. 11. Essays on stochastic volatility

    Författare :Marcus Nossman; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER

  3. 12. Credit risk and forward price models

    Författare :Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. LÄS MER

  4. 13. Essays in Quantitative Finance

    Författare :Patrik Karlsson; Nationalekonomiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Sammanfattning : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. LÄS MER

  5. 14. A Factor Analytical Approach to Dynamic Panel Data Models

    Författare :Milda Norkute; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Dynamic panel data models; Factor analytical method; Bias; Incidental trends; MA errors; Factor-GMM;

    Sammanfattning : This thesis deals with the development and application of new estimation approaches based on factor analysis for estimation and inference in dynamic panel data models with fixed-effects. A new factor analytical method (FA) for the estimation of fixed-effects dynamic panel data models is proposed in Bai ("Fixed-Effects Dynamic Panel Models, A Factor Analytical Method". LÄS MER

  7. 15. Electricity markets operation planning with risk-averse agents: stochastic decomposition and equilibium

    Författare :Nenad Jovanovic; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; decomposition techniques; market equilibrium; risk-averse agents; stochastic optimization;

    Sammanfattning : The growing penetration of renewable energy sources in electricity systems requires adapting operation models to face the inherent variability and uncertainty of wind or solar generation. In addition, the volatility of fuel prices (such as natural gas) or the uncertainty of the hydraulic natural inflows requires to take into account all these sources of uncertainty within the operation planning of the generation system. LÄS MER