Essays about: "MERTON"

Showing result 16 - 20 of 78 essays containing the word MERTON.

  1. 16. Detecting anomalies in data streams driven by ajump-diffusion process

    University essay from Umeå universitet/Institutionen för fysik

    Author : Carl Paulin; [2021]
    Keywords : machine learning; ML; random forest; anomaly; detection; outlier; analysis; financial modelling; merton; jump-diffusion process; stochastic process; isolation forest; IF; robust random cut forest; RRCF;

    Abstract : Jump-diffusion processes often model financial time series as they can simulate the random jumps that they frequently exhibit. These jumps can be seen as anomalies and are essential for financial analysis and model building, making them vital to detect. READ MORE

  3. 17. Forecasting Call Option prices : A Quantitative Study in Financial Economics

    University essay from Umeå universitet/Nationalekonomi

    Author : Roger Lundmark; [2020]
    Keywords : ;

    Abstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE

  4. 18. Empirical Study on the Performance of Hedge Funds in China

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Weiwei Zhang; [2020]
    Keywords : Hedge funds; China; Performance; Persistence; Uncertainty;

    Abstract : China is one of the most popular emerging markets, and the fund management industry has experienced rapid growth during the past decade, especially private funds. Although the regulatory regimes were underdeveloped at first, the government realized that it was important to improve the related regulation to address this problem. READ MORE

  5. 19. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Linus Sigurdson; Fritiof Carling; [2020]
    Keywords : Banks; RNPD; Merton model; Credit spreads; Risk;

    Abstract : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. READ MORE

  6. 20. Option Pricing using the Fast Fourier Transform Method

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Abaynesh Berta; [2020]
    Keywords : Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Abstract : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. READ MORE