Search for dissertations about: "Local volatility surface"

Found 4 swedish dissertations containing the words Local volatility surface.

2. 1. Calibration and Hedging in Finance

   Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   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. 2. 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

5. 3. 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

6. 4. Exploring binary mixtures of protic ionic liquids– Interactions, dynamics, and non-ideal behavior

   Author : Negin Yaghini; Chalmers tekniska högskola; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; nano-confinement; protic ionic liquid; molecular interactions; binary system;

   Abstract : Ionic liquids are organic salts that melt at low temperatures and provide a set of properties beneficial for diverse applications. These properties include good thermal stability, high ionic conductivity, low volatility and non-flammability. READ MORE