Search for dissertations about: "Discrete time hedging"

Found 5 swedish dissertations containing the words Discrete time hedging.

  2. 1. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging

    Author : Mats Brodén; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Discrete time hedging; discretization error; L2 convergence; Non-linear Kalman filters; Calibration;

    Abstract : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. READ MORE

  4. 2. On the convergence of discrete time hedging schemes

    Author : Mats Brodén; Matematisk statistik; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : In the first part of this thesis discrete time hedging is considered. In paper A an adaptive hedging scheme where the hedge portfolio is re-balanced when the hedge ratios differ by some amount, here denoted eta, is investigated. An expression of the normalized expected mean squared hedging error as eta tends to zero is derived. READ MORE

  5. 3. Essays on Financial Models

    Author : Henrik Amilon; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    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

  6. 4. 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

  7. 5. Essays on Financial Markets

    Author : Hans Byström; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE