Sökning: "factor pricing models"
Visar resultat 1 - 5 av 18 avhandlingar innehållade orden factor pricing models.
1. Evaluating Asset-Pricing Models in International Financial Markets
Sammanfattning : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. LÄS MER
2. Asset Pricing Models with Stochastic Volatility
Sammanfattning : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. LÄS MER
3. Essays in empirical asset pricing
Sammanfattning : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. LÄS MER
4. Market Models with Stochastic Volatility
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
5. Decomposing the Option Pricing Problem : Estimating the Causal Factors: Interest Rates, Dividends, and Risk-Neutral Probabilities
Sammanfattning : The financial markets have an essential role in society. Further, these markets are constantly evolving. Therefore, models and methods have to be developed and adapted to the new market conditions to be useful for decisions. LÄS MER