Search for dissertations about: "option pricing"

Showing result 16 - 20 of 60 swedish dissertations containing the words option pricing.

  2. 16. Information and Default Risk in Financial Valuation

    Author : Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

    Abstract : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. READ MORE

  4. 17. Essays on expectations and financial markets

    Author : Staffan Lindén; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Survey; Inflation; Expectations; Perceptions; Rational; Inattentive; Event study; Option introduction; Stock market; Asset pricing; Price effect; Risk effect; Derivatives;

    Abstract : This thesis is a collection of three empirical papers that tests hypotheses within the context of two related and intersecting theoretical frameworks: rational expectations and efficient markets. The aim is to empirically explore to what extent households form their inflation expectations in a rational manner, and to explain why households’ perceptions may deviate from the measured official rate. READ MORE

  5. 18. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL 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

  6. 19. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Author : Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Abstract : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. READ MORE

  7. 20. Essays on Financial Markets

    Author : Hans Byström; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

    Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE