Sökning: "Volatility"

Visar resultat 11 - 15 av 253 avhandlingar innehållade ordet Volatility.

  1. 11. Market Models with Stochastic Volatility

    Författare :Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER

  3. 12. Essays on financial time series models : Stochastic volatility and long memory

    Författare :Jonas Andersson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). LÄS MER

  4. 13. Essays on Risk in International Financial Markets

    Författare :Ola Larsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Value at Risk; copulas; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

    Sammanfattning : This thesis deals with techniques to model risk in financial markets and consists of four separate essays. The thesis begins with an introduction in chapter one, while chapter two to chapter five contains the four essays. The first essay examines the implication of using various risk measures for portfolio selection. LÄS MER

  5. 14. Formation, ageing and thermal properties of secondary organic aerosol

    Författare :Eva U. Emanuelsson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; volatile organic compounds; biogenic; anthropogenic; secondary organic aerosol; troposphere; volatility; ozone;

    Sammanfattning : In order to properly represent and predict the effects of aerosol in climate systems, an accurate description of their formation and properties is needed. This thesis describes work done to increase the knowledge of processes and properties of atmospherically relevant secondary organic aerosol (SOA) from both biogenic and anthropogenic origin. LÄS MER

  7. 15. Physical and Chemical Processes in the Formation of Biogenic secondary Organic Aerosols

    Författare :Åsa M. Jonsson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tropospheric chemistry; monoterpenes; ozonolysis; secondary organic aerosol SOA ; G-FROST; AIDA; humidity; temperature; hydroxyl radicals; volatility; pinonaldehyde; climate and health;

    Sammanfattning : Vegetation emits a vast number of biogenic volatile organic compounds (BVOC). In the atmosphere they are oxidised, predominantly by O3, OH radicals or NO3 radicals, depending e.g. on chemical structure. LÄS MER