Search for dissertations about: "Magnus Blix"

Found 1 swedish dissertation containing the words Magnus Blix.

2. 1. Essays in mathematical finance : modeling the futures price

   Author : Magnus Blix; Handelshögskolan i Stockholm; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. READ MORE