Essays about: "Normal Inverse Gaussian Process."
Found 4 essays containing the words Normal Inverse Gaussian Process..
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1. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE
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2. Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19
University essay from Linnéuniversitetet/Institutionen för matematik (MA)Abstract : Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. READ MORE
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3. Pricing and Hedging using Hedge Monte-Carlo Method
University essay from Lunds universitet/Matematisk statistikAbstract : In this master’s thesis The Hedge Monte-Carlo method (HMC) is evaluated. The HMC method is used to price financial derivatives and at the same time obtain optimal hedge portfolios. The optimal hedge is of great importance as it enables risk management in option trading. READ MORE
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4. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. READ MORE