Search for dissertations about: "Mathias Barkhagen"

Found 2 swedish dissertations containing the words Mathias Barkhagen.

  2. 1. Risk-Neutral and Physical Estimation of Equity Market Volatility

    Author : Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. READ MORE

  4. 2. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

    Author : Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

    Abstract : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. READ MORE