Sökning: "mean reverting"

Visar resultat 6 - 10 av 10 avhandlingar innehållade orden mean reverting.

  1. 6. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities

    Författare :Betuel Canhanga; Sergei Sivestrov; Anatoliy Malyarenko; Ying Ni; Milica Rancic; Raimondo Manca; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Asymptotic Expansion; European Options; Stochastic Volatilities; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. LÄS MER

  3. 7. On price formation and quantity adjustment in Swedish housing markets

    Författare :Katinka Hort; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi; Economics; Nationalekonomi; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of four essays on price formation and quantity adjustment in Swedish markets for owner-occupied houses.Essay I: As a means of describing the time-series behaviour of single-family house prices, univariate forecasting equations are estimated by seemingly unrelated regression techniques using data for 20 urban areas over the period 1967-92. LÄS MER

  4. 8. Essays on Performance and Growth in Swedish Banking

    Författare :Pål Sjöberg; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Swedish banking; degree of competition; Lerner indexes; entry barriers; contestability; commercial banks; savings banks; branch banks; unit banks; GMM estimation; dynamic panel data model; firm growth; Gibrat’s law of proportionate effect; technological change; local banking markets; entry thresholds; ordered probit model; Poisson model.;

    Sammanfattning : This thesis deals with performance and growth in the Swedish banking sector, in an era following important changes such as the globalisation of financial markets, the harmonisation of legislation (e.g. the EU banking directives) and the implementation of new technology, such as Internet banking and other electronic delivery channels. LÄS MER

  5. 9. Essays on Incomplete Information in Financial Markets

    Författare :Frederik Lundtofte; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomiska system; ekonomisk politik; Financial science; Finansiering; ekonomisk teori; economic policy; Nationalekonomi; ekonometri; Economics; econometrics; economic theory; factor pricing models; hedging demands; estimation risk; partial information; learning; economic systems;

    Sammanfattning : This thesis consists of three essays on incomplete information in financial markets, two of which are theoretical, and one that is mainly of an empirical nature. All three essays concern parameter uncertainty, and they employ a continuous-time framework. LÄS MER

  7. 10. Essays on Purchasing Power Parity, Real Exchange Rate, and Optimum Currency Areas

    Författare :Beatrice Kalinda Mkenda; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis contains three separate papers. Paper I tests whether the theory of Purchasing Power Parity holds in a selected sample of twenty African countries. The paper employs a panel unit root test to test whether the real exchange rates in the panel are mean reverting or not. The test employed is the Im et al (1997) test. LÄS MER