Sökning: "Discrete time hedging"
Hittade 5 avhandlingar innehållade orden Discrete time hedging.
1. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging
Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER
2. On the convergence of discrete time hedging schemes
Sammanfattning : In the first part of this thesis discrete time hedging is considered. In paper A an adaptive hedging scheme where the hedge portfolio is re-balanced when the hedge ratios differ by some amount, here denoted eta, is investigated. An expression of the normalized expected mean squared hedging error as eta tends to zero is derived. LÄS MER
3. Essays on Financial Models
Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER
4. A new non-linear GARCH model
Sammanfattning : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. LÄS MER
5. Essays on Financial Markets
Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER