Search for dissertations about: "local volatility"
Showing result 6 - 10 of 29 swedish dissertations containing the words local volatility.
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6. Risk-Neutral and Physical Estimation of Equity Market Volatility
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
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7. Volatility, integration and grain banks : studies in harvests, rye prices and institutional development of the parish magasins in Sweden in the 18th and 19th centuries
Abstract : This study is the first to focus primarily on the Swedish parish magasins, the country’s most widespread credit institution in the last half of the 18th, and the first part of the 19th, century. During the Early Modern Period, grain price volatility was a matter of great concern. READ MORE
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8. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information
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
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9. 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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10. Numerical methods for the calibration problem in finance and mean field game equations
Abstract : This thesis contains five papers and an introduction. The first four of the included papers are related to financial mathematics and the fifth paper studies a case of mean field game equations. READ MORE