Sökning: "options"

Visar resultat 11 - 15 av 1130 avhandlingar innehållade ordet options.

1. 11. Pricing of Some Path-Dependent Options on Equities and Commodities

   Författare :Mats Kjaer; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

   Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER

3. 12. Valuation and Optimal Strategies in Markets Experiencing Shocks

   Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

   Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER

4. 13. Empirical essays on financial markets, firms, and derivatives

   Författare :Niclas Hagelin; Ingrid M. Werner; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial markets; Stock markets; Future markets; Options; Derivates; Hedging; Derivathandel; Business studies; Företagsekonomi; Business Administration; företagsekonomi;

   Sammanfattning : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. LÄS MER

5. 14. Essays on Financial Models

   Författare :Henrik Amilon; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

   Sammanfattning : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. LÄS MER

7. 15. AND ... AND ... AND ... : Reiterating Financial Derivation

   Författare :Thomas Bay; Pierre Guillet de Monthoux; Bo Hedberg; Rolland Munro; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial derivation; derivatives; options; futures; risk; finance; economy; gambling; reiteration; deconstruction; deterritorialisation; experimentation; Business studies; Företagsekonomi; företagsekonomi; Business Administration;

   Sammanfattning : This essay is an attempt at examining the general logic of derivation, the organisational geno-practice of financial derivationówhat I have called: reiterative derivation. I will endeavour to reiterate, to repeat otherwise, to displace the derivative distinction which apart from providing the financial markets with ever new business opportunities, makes financial instruments like options and futures the potential turning point, the crisis, the utmost risk, the pure possibility, of any economic reality. LÄS MER