Search for dissertations about: "Index options"
Showing result 1 - 5 of 51 swedish dissertations containing the words Index options.
-
1. Essays on Derivatives and Liquidity
Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE
-
2. Price measurement and index construction : some contributions to theory and application
Abstract : Four different problems are treated, all concerned with problems arising when compiling price indexes in official statistics. One deals with the computation of so called elementary aggregates, low level indexes for single products, when proper weights for the observations are not available. READ MORE
-
3. Calibration and Hedging in Finance
Abstract : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. READ MORE
-
4. Empirical essays on financial markets, firms, and derivatives
Abstract : 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. READ MORE
-
5. Essays on Financial Models
Abstract : 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. READ MORE