Search for dissertations about: "factor stochastic volatility"

Showing result 11 - 14 of 14 swedish dissertations containing the words factor stochastic volatility.

  2. 11. Essays in mathematical finance : modeling the futures price

    Author : Magnus Blix; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. READ MORE

  4. 12. Essays on Banking and Portfolio Choice

    Author : Bo Larsson; Hans Wijkander; Jean-Charles Rochet; Stockholms universitet; []
    Keywords : Optimal reserves; Time-diversification; Home bias;

    Abstract : This thesis consists of three self-contained essays in the fields of banking and portfolio choice.Banking and Optimal Reserves in an Equilibrium Model:I address the question of reserves in banking, particularly the fact that reserves are substantially larger than the stipulated reserve requirements by Bank of International Settlements. READ MORE

  5. 13. Credit risk and forward price models

    Author : Raquel M Gaspar; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the classical and the geometrical approach. READ MORE

  6. 14. Macroeconomic Uncertainty and Exchange Rate Policy

    Author : Erik Post; Nils Gottfries; Annika Alexius; Kai Leitemo; Uppsala universitet; []
    Keywords : Social sciences; SAMHÄLLSVETENSKAP;

    Abstract : Essay 1 (with Annika Alexius) uses a structural VAR model to study the role of floating exchange rates for five "small open economies" with inflation targets. We show that only in Sweden and Canada does the nominal exchange rate behave in a stabilizing way. Most exchange rate movements are responses to non-fundamental shocks. READ MORE