Sökning: "mean reversion"
Visar resultat 1 - 5 av 8 avhandlingar innehållade orden mean reversion.
1. Financial Applications of Markov Chain Monte Carlo Methods
Sammanfattning : This thesis consists of four empirical studies on financial economics. The first chapter contains a short summary of the thesis. LÄS MER
2. Contributions to Numerical Solution of Stochastic Differential Equations
Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER
3. Asymptotics of implied volatility in the Gatheral double stochastic volatility model
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. Two Essays in Empirical Finance: Unit-Root Testing in the Presence of Structural Breaks
Sammanfattning : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. LÄS MER
5. Green Finance in Real Estate, Housing Price Volatility and Rental Swaps
Sammanfattning : This thesis consists of four papers that explore several aspects of the housing market in Sweden: financing of the housing construction sector, price volatility patterns of apartment and house segments and the role of the swap rental market in access to housing and household mobility.The first paper explores the effect of a firm’s reputation of being a green bond issuer on its financing costs. LÄS MER
