Sökning: "Price jump"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden Price jump.

1. 1. Market liberalization and market integration : Essays on the Nordic electricity market

   Författare :Jens Lundgren; Runar Brännlund; Niklas Rudholm; Jörgen Hellström; Robert Lundmark; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Consumer welfare; Electricity price; Market integration; Market power; Price jump; nationalekonomi; Economics;

   Sammanfattning : This thesis consists of four self-contained papers related to the Nordic electricity market.Paper [I] examine how the reform of the Nordic electricity markets has affected competition in the electric power supply market, Nord Pool. LÄS MER

3. 2. 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. 3. Valuation and Optimal Strategies in Markets Experiencing Shocks

   Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

   Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER

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

   Författare :Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; 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

7. 5. Essays on the Evaluation of Public Policies

   Författare :Michihito Ando; Matz Dahlberg; Che-Yuan Liang; David Neumark; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Local income growth; Local employment; Nuclear power facilities; Synthetic control method; Quantitative case study; Regression kink design; Endogenous treatment; Intergovernmental grants; Flypaper effect; Treatment effect heterogeneity; Instrumental variable; Oral health; Dentures; Price elasticity; Regression discontinuity design; Cost sharing; Randomization test; Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of four self-contained papers.Essay 1: This paper uses the synthetic control (SC) method to examine how the establishment of Nuclear Power Facilities (NPFs) in Japan in the 1970s and 1980s has affected local per capita income levels in the municipalities in which they were located (NPF municipalities). LÄS MER