Sökning: "implied volatility"

Visar resultat 1 - 5 av 17 avhandlingar innehållade orden implied volatility.

  1. 1. 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

  3. 2. 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

  4. 3. Essays on Financial Market Volatility

    Författare :Ai Jun HOU; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    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

  5. 4. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  7. 5. 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