Search for dissertations about: "derivative pricing"

Showing result 11 - 15 of 15 swedish dissertations containing the words derivative pricing.

  2. 11. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

    Author : Rikard Green; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

    Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

  4. 12. 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

  5. 13. Essays in Finance Related Problems with PDE Approach

    Author : Sadna Sajadini; Henrik Shah Gholian; Jonas Tysk; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis is comprised of three scientific articles, all in PDE problems related to finance. The first two papers address problems concerning bonds and the third one treat s asymmetry problem in the mean field game theory. READ MORE

  6. 14. Essays on Sovereign Credit Risk and Credit Default Swap Spreads

    Author : Patrick Augustin; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press.  Real Economic Shocks and Sovereign Credit Risk. READ MORE

  7. 15. Essays on stochastic volatility

    Author : Marcus Nossman; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE