Search for dissertations about: "thesis on arbitrage"

Showing result 1 - 5 of 35 swedish dissertations containing the words thesis on arbitrage.

  2. 1. The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability

    Author : Joachim Landström; Jan-Erik Gröjer; Dag Smith; Frøystein Gjesdal; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Homo Comperiens; Inefficient Markets; Efficient Markets; Arbitrage; No-Arbitrage; Market Price; Market Value; Intrinsic Value; Residual Income; Residual Earnings; Company Valuation; Firm Valuation; Valuation; Accounting; Financial Accounting; Financial Analysis; Residual Rate-of-Return; Residual Rates-of-Returns; Business studies; Företagsekonomi;

    Abstract : This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. READ MORE

  4. 2. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Author : Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    Abstract : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. READ MORE

  5. 3. Some Extensions of Fractional Ornstein-Uhlenbeck Model : Arbitrage and Other Applications

    Author : José Igor Morlanes; Andriy Andreev; Hans Nyquist; Henrik Hult; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; fractional Ornstein-Uhlenbeck process; insider information; simulation embedding method; jump times; least-squares estimator; likelihood process; Ito calculus; Malliavin calculus; stochastic calculus; Statistics; statistik;

    Abstract : This doctoral thesis endeavors to extend probability and statistical models using stochastic differential equations. The described models capture essential features from data that are not explained by classical diffusion models driven by Brownian motion.New results obtained by the author are presented in five articles. READ MORE

  6. 4. 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

  7. 5. Competition, Division and Unity : The Impact of Market Structures on Trading Quality

    Author : Chengcheng Qu; Björn Hagströmer; Lars Nordén; Michał Dzieliński; Roman Kozhan; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market microstructure; latency arbitrage; fragmentation; tick size; lot size; liquidity; adverse selection; market efficiency; Business Administration; företagsekonomi;

    Abstract : The financial market operates as an ecosystem, involving diverse yet interconnected marketplaces and participants. Market design, intricately interacting with technology, regulation, and competition, shapes how participants adapt their trading behavior and therefore influences market performance. READ MORE