Search for dissertations about: "Volatility modeling"

Showing result 6 - 10 of 31 swedish dissertations containing the words Volatility modeling.

  2. 6. Combined heat and power plant flexibility - Technical and economic potential and system interaction

    Author : Johanna Beiron; Chalmers tekniska högskola; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Combined heat and power; Flexibility; Process optimization modeling; Electricity price volatility; Waste to energy; Combined cycle; District heating; Dynamic modeling;

    Abstract : The share of variable renewable energy sources in electricity generation systems is expected to increase, leading to increased variability in the load that must be provided by conventional power plants or other flexibility measures. Thus, thermal power plants need to consider implementation of technical measures that enhance flexibility; to maintain profitability of operation with increased electricity price fluctuation, and to support electricity system stability. READ MORE

  4. 7. Asset Pricing Models with Stochastic Volatility

    Author : Jean-Paul Murara; Sergei Silvestrov; George Fodor; Mälardalens högskola; []
    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

  5. 8. 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

  6. 9. 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

  7. 10. Essays on Empirical applications of Real Estate Economics and Finance

    Author : Mo Zheng; Han-Suck Song; Mats Wilhelmsson; Fredrik Armerin; Shahiduzzaman Quoreshi; KTH; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Economics and Finance; Hedonic regression; Spatial econometrics; Residential market; Housing index; GARCH; Volatility forecasting; COVID-19; Value-at-Risk; Extreme Value Theory; Fastighetsekonomi och finans; Hedonisk regression; Spatial ekonometri; Bostadsmarknad; Bostadsindex; GARCH; Volatilitetsprognoser; COVID-19; Value-at-Risk; Extreme Value Theory; Fastigheter och byggande; Real Estate and Construction Management;

    Abstract : This doctoral thesis is a collection of four essays that utilize cross-sectional and time-series econometric methods in real estate economics and finance. The first two essays apply econometric modeling to the residential market focusing on hedonic regression analysis, while the other two essays apply financial econometric modeling on an index of listed real estate stocks, and house price index indices. READ MORE