Search for dissertations about: "implied volatility"
Showing result 11 - 15 of 17 swedish dissertations containing the words implied volatility.
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11. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling
Abstract : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. READ MORE
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12. Essays in mathematical finance : modeling the futures price
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
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13. Essays in Quantitative Finance
Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE
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14. Essays on Empirical Macroeconomics
Abstract : This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. READ MORE
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15. Derivative Prices for Models using Levy Processes and Markov Switching
Abstract : This thesis contributes to mathematics, finance and computer simulations. In terms of mathematics this thesis concerns applied probability and Lévy processes and from the financial point of view the thesis concerns derivative pricing. Within these two areas several simulation techniques are investigated. The thesis is organized as follows. READ MORE