Sökning: "Volatility"
Visar resultat 6 - 10 av 253 avhandlingar innehållade ordet Volatility.
6. Essays on Financial Market Volatility
Sammanfattning : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. LÄS MER
7. Essays on Realized Volatility and Jumps
Sammanfattning : Financial markets sometimes generate significant discontinuities, so called jumps, triggered by large informational shocks and extreme events. In the last decade, there is an increasing interest in financial economics towards modeling these jumps which may have significant consequences for risk management, and portfolio allocation. LÄS MER
8. Selected Problems in Financial Mathematics
Sammanfattning : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. LÄS MER
9. Portfolio Optimization and Statistics in Stochastic Volatility Markets
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
10. Definition and validation of requirements management measures
Sammanfattning : The quality of software systems depends on early activities in the software development process, of which the management of requirements is one. When requirements are not managed well, a project can fail or become more costly than intended, and the quality of the software developed can decrease. LÄS MER