Search for dissertations about: "implied volatility"

Showing result 6 - 10 of 17 swedish dissertations containing the words implied volatility.

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

   Author : Dinh-Vinh Vo; Nationalekonomiska institutionen; []
   Keywords : 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

4. 7. Risk-Neutral and Physical Estimation of Equity Market Volatility

   Author : Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. READ MORE

5. 8. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

   Author : Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

   Abstract : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. READ MORE

6. 9. Option Pricing and Bayesian Learning

   Author : Ola Jönsson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

   Abstract : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. READ MORE

7. 10. VAR Models, Cointegration and Mixed-Frequency Data

   Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
   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