Search for dissertations about: "volatility finance"

Showing result 1 - 5 of 30 swedish dissertations containing the words volatility finance.

2. 1. Calibration and Hedging in Finance

   Author : Love Lindholm; Anders Szepessy; Erik Lindström; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; finance; local volatility; calibration; optimal control; hedging; quadratic hedging; equity; index; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Abstract : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. READ MORE

4. 2. Essays in Quantitative Finance

   Author : Patrik Karlsson; Nationalekonomiska institutionen; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

   Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

5. 3. Essays on Empirical applications of Real Estate Economics and Finance

   Author : Mo Zheng; Han-Suck Song; Mats Wilhelmsson; Fredrik Armerin; Shahiduzzaman Quoreshi; KTH; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Economics and Finance; Hedonic regression; Spatial econometrics; Residential market; Housing index; GARCH; Volatility forecasting; COVID-19; Value-at-Risk; Extreme Value Theory; Fastighetsekonomi och finans; Hedonisk regression; Spatial ekonometri; Bostadsmarknad; Bostadsindex; GARCH; Volatilitetsprognoser; COVID-19; Value-at-Risk; Extreme Value Theory; Fastigheter och byggande; Real Estate and Construction Management;

   Abstract : This doctoral thesis is a collection of four essays that utilize cross-sectional and time-series econometric methods in real estate economics and finance. The first two essays apply econometric modeling to the residential market focusing on hedonic regression analysis, while the other two essays apply financial econometric modeling on an index of listed real estate stocks, and house price index indices. READ MORE

6. 4. Finance, Shocks, Competition and Price Setting

   Author : Melinda Süveg; Nils Gottfries; Teodora Borota Milicevic; David Vestin; Richard Friberg; Uppsala universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; price setting; markup; working capital; monetary policy; pass-through; market structure; competition; exit; bank connections; input price volatility.; Economics; Nationalekonomi;

   Abstract : Essay I: The New Keynesian model augmented with the working capital channel predicts that (i) a rise in the policy rate increases producer prices, with a stronger impact on firms that use more working capital, (ii) the pass-through of policy rate changes to prices is gradual because of price rigidity and (iii) unanticipated policy rate changes have larger effects than anticipated changes. Using firm-level micro data, I test these predictions. READ MORE

7. 5. Essays in Entrepreneurial and Household Finance

   Author : Fatemeh Sadat Hosseini Tash; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : ''This doctoral thesis consists of three independent papers in entrepreneurial, household and corporate finance. The first paper, Family Wealth and Entrepreneurship, explores the relation between the financial resources in an individual’s extended family and her decision to initiate a business and become an entrepreneur. READ MORE