Sökning: "VIX"

Hittade 4 avhandlingar innehållade ordet VIX.

  1. 1. Essays on VIX Futures and Options

    Författare :Bujar Huskaj; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER

  3. 2. Essays on stochastic volatility

    Författare :Marcus Nossman; Nationalekonomiska institutionen; []
    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

  4. 3. Asymptotics of implied volatility in the Gatheral double stochastic volatility model

    Författare :Mohammed Albuhayri; Anatoliy Malyarenko; Sergei Silvestrov; Ying Ni; Christopher Engström; Yulia Mishura; Mälardalens universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : We consider a market model of financial engineering with three factors represented by three correlated Brownian motions. The volatility of the risky asset in this model is the sum of two stochastic volatilities. The dynamic of each volatility is governed by a mean-reverting process. LÄS MER

  5. 4. Changes in human uterine innervation in term pregnancy and labor occurence and roles of neurotrophins and TRPV1

    Författare :Berith Karlsson Tingåker; Karolinska Institutet; Karolinska Institutet; []
    Nyckelord :Uterus; corpus uteri; cervix uteri; pregnancy; labor pain; neurotrophins; NGF; TRPV1; sensory corpuscles; human.;

    Sammanfattning : Objective: Cervical ripening, is a prerequisite for successful labor, which is often very painful and involves an inflammatory reaction. However, little is presently known con-cerning nerve-related changes in the human uterus during labor and the fundamental hy-pothesis tested here was that labor pain emanates primarily from the cervix uteri. LÄS MER