Search for dissertations about: "Asset pricing models"

Showing result 21 - 25 of 31 swedish dissertations containing the words Asset pricing models.

  2. 21. Computer-Supported Design for Producibility : Principles and Models for System Realisation and Utilisation

    Author : Fredrik Elgh; Jönköping University; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Design for Producibility; Application System Development; Application System Utilisation; Information Modelling; Manufacturing Requirement; Design Automation; Cost Estimation;

    Abstract : For many products, the adaptation to customer specifications is essential and requires flexible product design and manufacture while maintaining competitive pricing. Engineering design is often concerned with striking a good balance between product properties, e.g. performance, and the resources required to manufacture and assemble the product. READ MORE

  4. 22. A new non-linear GARCH model

    Author : Gustaf E. Hagerud; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. READ MORE

  5. 23. Credit Risk in Corporate Securities and Derivatives : valuation and optimal capital structure choice

    Author : Jan Ericsson; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This volume consists of four papers, which in principle could be read in any order. The common denominator is that they deal with contingent claims models of a firm's securities or related derivatives. READ MORE

  6. 24. Essays in financial guarantees and risky debt

    Author : Gunnar Dahlfors; Peter Jansson; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This dissertation consists of six separate papers dealing with the valuation of financial guarantees and risky debt contract. Each of these papers is independent and distinct. The main theme is the valuation of securities by contingent claims analysis (CCA). Paper 1: Valuation of Financial Guarantees A Presentation and a Critique. READ MORE

  7. 25. Essays on VIX Futures and Options

    Author : Bujar Huskaj; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE