Search for dissertations about: "stochastic volatility"

Showing result 1 - 5 of 52 swedish dissertations containing the words stochastic volatility.

  1. 1. Essays on stochastic volatility

    University dissertation from Lund University

    Author : Marcus Nossman; [2009]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

    Abstract : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. READ MORE

  2. 2. Portfolio Optimization and Statistics in Stochastic Volatility Markets

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Carl Lindberg; Göteborgs universitet.; Gothenburg University.; [2005]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic control; portfolio optimization; verification theorem; Feynman-Kac formula; stochastic volatility; non-Gaussian Ornstein-Uhlenbeck process; estimation; number of trades; stochastic volatility; Feynman-Kac formula; portfolio optimization; estimation; number of trades; verification theorem; non-Gaussian Ornstein-Uhlenbeck process;

    Abstract : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. READ MORE

  3. 3. Financial Volatility and Time-Varying Risk Premia

    University dissertation from Department of Economics, Lund Universtiy

    Author : Peter Hördahl; [1997]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Abstract : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. READ MORE

  4. 4. Market Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; [2019]
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. READ MORE

  5. 5. Essays on financial time series models : Stochastic volatility and long memory

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Jonas Andersson; [1999]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; SOCIAL SCIENCES Statistics; computer and systems science Informatics; computer and systems science; SAMHÄLLSVETENSKAP Statistik; data- och systemvetenskap Informatik; data- och systemvetenskap; statistik; Statistics;

    Abstract : This work consists of five articles about the statistical aspects of financial time series models. The first three papers investigate and develop the inverse normal Gaussian stochastic volatility (NIGSV) model, initially suggested by Barndorff- Nielsen (1997). READ MORE