Search for dissertations about: "implied volatility"

Showing result 1 - 5 of 15 swedish dissertations containing the words implied volatility.

  1. 1. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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

  2. 2. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE

  3. 3. Calibration, Optimality and Financial Mathematics

    Author : Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Abstract : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. READ MORE

  4. 4. Physical properties and processes of secondary organic aerosol and its constituents

    Author : Kent Salo; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SOA; ageing; VOC; atmosphere; volatility; VTDMA; monoterpenes; ageing;

    Abstract : Atmospheric aerosol particles are involved in several important processes including the formation of clouds and precipitation. A considerable fraction of the ambient aerosol mass consists of organic compounds of both primary and secondary origin. READ MORE

  5. 5. Essays on Information Transmission and Crisis Spillover in the Financial Markets

    Author : Dinh-Vinh Vo; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Central bank communication; ECB; exchange rates; sentiment; LDA; textual analysis; cross-section of stock returns; news-implied volatility; financial contagion; interdependence; global banking system;

    Abstract : This doctoral dissertation comprises three independent essays on information transmission and crisis spillover in the financial markets. The research questions are examined in the context of the foreign exchange market, the stock market and the global banking system. READ MORE