Sökning: "underlying stock market"

Visar resultat 16 - 20 av 28 avhandlingar innehållade orden underlying stock market.

1. 16. 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

3. 17. Risk matters : studies in finance, trade and politics

   Författare :Jonas Vlachos; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This thesis consists of four self-contained empirical essays. In the first essays "Markets for Risk and Openness to Trade: How are They Related?" (with Helena Svaleryd), we ask if there is an empirical relationship between financial development and openness to trade. LÄS MER

4. 18. 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

5. 19. Do Dividend Changes Really Signal? : Evidence from Sweden

   Författare :Per Alkebäck; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Dividend policy; joint announcements; dividend initiations and omissions; dividend changes and surrounding quarterly and annual earnings; and the management s view of dividends; Business studies; Företagsekonomi; Business Administration; företagsekonomi;

   Sammanfattning : The purpose of the studies in this thesis is to clarify and hopefully shed some light on one important issue in dividend policy: the market reaction to announcements of cash dividends (changes) on the Swedish market.The first study, Joint Dividend and Earnings Announcements, Firm Size and Tax Law Changes, examines stock price reaction to joint dividend and earnings announcements. LÄS MER

7. 20. Time-Series Econometrics Applied to Macroeconomic Issues

   Författare :Abdulnasser Hatemi-J; Jönköping University; []
   Nyckelord :;

   Sammanfattning : This doctoral dissertation is a collection of six articles. Special attention is paid to model specification and the time-series properties of the data applied in each case. The first two articles deal with fiscal policy in Sweden and the effects of EMU criteria convergence. LÄS MER