Sökning: "Volatility"

Visar resultat 16 - 20 av 253 avhandlingar innehållade ordet Volatility.

  1. 16. Physical properties and processes of secondary organic aerosol and its constituents

    Författare :Kent Salo; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SOA; ageing; VOC; atmosphere; volatility; VTDMA; monoterpenes; ageing;

    Sammanfattning : Atmospheric aerosol particles are involved in several important processes including the formation of clouds and precipitation. A considerable fraction of the ambient aerosol mass consists of organic compounds of both primary and secondary origin. LÄS MER

  3. 17. Analytical Approximation of Contingent Claims

    Författare :Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER

  4. 18. Essays on Market Design and Market Quality

    Författare :Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

    Sammanfattning : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. LÄS MER

  5. 19. Noise sensitivity and FK-type representations for Gaussian and stable processes

    Författare :Malin Palö Forsström; Chalmers tekniska högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; color representation; exclusion process; color process; Noise sensitivity; threshold stable vector; volatility; noise stability; interchange process; threshold Gaussian vector; multivariate stable distribution; Bernoulli random vector; mixing time;

    Sammanfattning : This thesis contains four papers on probability theory. Paper A concerns the question of whether the exclusion sensitivity and exclusion stability of a sequence of Boolean functions are monotone with respect to adding edges to the underlying sequence of graphs. LÄS MER

  7. 20. Networks, Information and Economic Volatility

    Författare :Graeme Cokayne; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Social Networks; Information; DeGroot; Portfolio Choice; Learning; Bayesian approach; MACROECONOMICS;

    Sammanfattning : This thesis makes a contribution to network theory and how it applies to economics. It consists of three self-contained papers. It predominantly considers how connections between economic entities can affect economic outcomes. LÄS MER