Sökning: "Bond option pricing"

Hittade 2 avhandlingar innehållade orden Bond option pricing.

  1. 1. Financial Volatility and Time-Varying Risk Premia

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Peter Hördahl; Lunds universitet.; Lund University.; [1997]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. LÄS MER

  2. 2. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Detta är en avhandling från Stockholm : Nationalekonomiska institutionen

    Författare :Carl Wilkens; Stockholms universitet.; [2005]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Sammanfattning : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. LÄS MER