Search for dissertations about: "factor stochastic volatility"

Showing result 1 - 5 of 12 swedish dissertations containing the words factor stochastic volatility.

  1. 1. Financial Volatility and Time-Varying Risk Premia

    University dissertation from Department of Economics, Lund Universtiy

    Author : Peter Hördahl; [1997]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Abstract : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. READ MORE

  2. 2. Market Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; [2019]
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. READ MORE

  3. 3. Asset Pricing Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Sergei Silvestrov; George Fodor; [2016]
    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

  4. 4. Analytical Approximation of Contingent Claims

    University dissertation from Department of Economics, Lund Universtiy

    Author : Karl Larsson; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL 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

  5. 5. VAR Models, Cointegration and Mixed-Frequency Data

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; [2019]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE