Essays about: "MERTON"

Showing result 21 - 25 of 78 essays containing the word MERTON.

  1. 21. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Carl Paulin; Maja Lindström; [2020]
    Keywords : Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

    Abstract : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. READ MORE

  3. 22. Does Quality Matter?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lovisa Jalrup; Sawan Patel; [2020]
    Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE

  4. 23. THE ROAD FROM SALZBURG Translating European principles of Doctoral Education to local contexts

    University essay from Göteborgs universitet/Statsvetenskapliga institutionen

    Author : Karl-Fredrik Ahlmark; [2019-07-08]
    Keywords : doctoral education; knowledge economy; Salzburg principles; Original research; employment market needs; translation; CUDOS mores; post-academic science; mode 1 and mode 2 production of knowledge;

    Abstract : The aim of this study has been to investigate in what ways directors of doctoral education navigate and translate doctoral education norms from the European level to local contexts. In focus are the two norms of original research and wider labour market needs, enshrined in the Salzburg principles, adopted by the European University Association. READ MORE

  5. 24. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

    University essay from Göteborgs universitet/Graduate School

    Author : Leonardo Di Geronimo; [2019-07-02]
    Keywords : Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

    Abstract : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. READ MORE

  6. 25. A Utility Approach: Strategy Analysis and Optimization

    University essay from Lunds universitet/Matematisk statistik

    Author : Magnús Ólafur Sigurdsson; [2019]
    Keywords : Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Abstract : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. READ MORE