Sökning: "underlying stock market"

Visar resultat 11 - 15 av 28 avhandlingar innehållade orden underlying stock market.

  1. 11. Risk-Neutral and Physical Estimation of Equity Market Volatility

    Författare :Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. LÄS MER

  3. 12. Essays on Investor Behavior and Trading Strategies in International Financial Markets

    Författare :Anton Hasselgren; Jarkko Peltomäki; Ai Jun Hou; Charlotte Christiansen; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; foreign exchange; speculators; hedge funds; investor behavior; trading strategies; information; market efficiency; företagsekonomi; Business Administration;

    Sammanfattning : This dissertation contains four articles that in different ways inform on investor behavior in international financial markets, their impact on the underlying market, and the trading strategies that they pursue.Article I studies how hedge funds herd in currency future contracts and how it is affecting the underlying market. 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. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

    Författare :Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

    Sammanfattning : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. LÄS MER

  7. 15. Essays on Financial Markets

    Författare :Hans Byström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER