Search for dissertations about: "Volatility"

Showing result 16 - 20 of 249 swedish dissertations containing the word Volatility.

2. 16. Analytical Approximation of Contingent Claims

   Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

   Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE

4. 17. Essays on Market Design and Market Quality

   Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

5. 18. Noise sensitivity and FK-type representations for Gaussian and stable processes

   Author : Malin Palö Forsström; Chalmers tekniska högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; color representation; exclusion process; color process; Noise sensitivity; threshold stable vector; volatility; noise stability; interchange process; threshold Gaussian vector; multivariate stable distribution; Bernoulli random vector; mixing time;

   Abstract : This thesis contains four papers on probability theory. Paper A concerns the question of whether the exclusion sensitivity and exclusion stability of a sequence of Boolean functions are monotone with respect to adding edges to the underlying sequence of graphs. READ MORE

6. 19. Networks, Information and Economic Volatility

   Author : Graeme Cokayne; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Social Networks; Information; DeGroot; Portfolio Choice; Learning; Bayesian approach; MACROECONOMICS;

   Abstract : This thesis makes a contribution to network theory and how it applies to economics. It consists of three self-contained papers. It predominantly considers how connections between economic entities can affect economic outcomes. READ MORE

7. 20. Essays on Energy and Climate Policy – Green Certificates, Emissions Trading and Electricity Prices

   Author : Anna Widerberg; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Attitudes; Carbon Dioxide; Carbon Intensity; Climate Change; Electricity; Electricity Prices; Emissions Trading; Emission Allowances; Environment; Fairness; GARCH models; Lyapunov Exponents; Market Structure; Personal Carbon Allowances; Public Opinion; Reconstructed Dynamics; Stability; Tradable Energy Quotas; Tradable Green Certificates; Volatility;

   Abstract : Paper I: An Electricity Trading System with Tradable Green Certificates and CO₂-emission Allowances Combinations of various policy instruments to deal with the threat of climate change are used throughout the world. The aim of this article is to investigate an electricity market with two different policy instruments, Tradable Green Certificates (TGCs) and CO₂ emission allowances (an Emission Trading System, ETS). READ MORE