Sökning: "Stochastic Volatility"

Visar resultat 1 - 5 av 51 avhandlingar innehållade orden Stochastic Volatility.

  1. 1. Essays on stochastic volatility

    Detta är en avhandling från Lund University

    Författare :Marcus Nossman; Lund University.; Lunds universitet.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER

  2. 2. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    Detta är en avhandling från Göteborg : Chalmers University of Technology

    Författare :Carl Lindberg; Göteborgs universitet.; Gothenburg University.; [2005]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades;

    Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER

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

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Peter Hördahl; Lund University.; Lunds universitet.; [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

  4. 4. Market Models with Stochastic Volatility

    Detta är en avhandling från Västerås : Mälardalen University

    Författare :Jean-Paul Murara; Mälardalens högskola.; [2019]
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; 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

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

    Detta är en avhandling från Uppsala : Acta Universitatis Upsaliensis

    Författare :Jonas Andersson; Uppsala universitet.; [1999]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; SOCIAL SCIENCES Statistics; computer and systems science Informatics; computer and systems science; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap 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