Search for dissertations about: "Asset pricing models"

Showing result 1 - 5 of 17 swedish dissertations containing the words Asset pricing models.

  1. 1. Evaluating Asset-Pricing Models in International Financial Markets

    University dissertation from Lunds Universitet

    Author : Fadi Zaher; Högskolan i Skövde.; Högskolan i Skövde.; Lunds universitet.; Lund University.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SOCIAL SCIENCES Business and economics; SAMHÄLLSVETENSKAP Ekonomi; Humaniora-samhällsvetenskap; Humanities and Social sciences; financial science; economic policy; economic theory; economic systems; econometrics; Hansen-Jagannathan boundsequity premium puzzle; Forecasting methods; asset-pricing models; Economics; bootstrap; short-sales constraint; ekonomisk politik; finansiering; ekonomiska system; nationalekonomi; ekonometri; Hansen-Jagannathan bounds; ekonomisk teori; Financial science; Finansiering; Nationalekonomi; equity premium puzzle; bootstrap.;

    Abstract : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. READ MORE

  2. 2. Asset Pricing Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Mälardalens högskola.; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. READ MORE

  3. 3. International Asset Pricing, Diversification and Links between National Stock Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Birger Nilsson; Lunds universitet.; Lund University.; [2002]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering; economic systems; economic theory; Economics; econometrics; Simulated Annealing; Capital Market Liberalization; International Asset Pricing; Diversification;

    Abstract : Popular Abstract in Swedish Avhandlingen består av tre empiriska uppsatser inom internationell finansiell ekonomi. Den ekonometriska gemensamma nämnaren är att samtliga använda modeller är av komplex multivariat natur. READ MORE

  4. 4. Essays on Financial Models

    University dissertation from Department of Economics, Lund Universtiy

    Author : Henrik Amilon; Lunds universitet.; Lund University.; [2000]
    Keywords : 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;

    Abstract : Popular Abstract in Swedish Alla finansiella modeller bygger på antaganden, approximationer och förenklingar. Syftet med avhandlingen är att undersöka giltigheten och rimligheten i ett antal välkända och populära finansiella och ekonometriska modeller, med en tonvikt på de svenska aktie- och optionsmarknaderna. READ MORE

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

    University dissertation from Göteborg

    Author : Mats Kjaer; Göteborgs universitet.; Gothenburg University.; [2006]
    Keywords : 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.;

    Abstract : 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. READ MORE