Essays about: "Viktor Berggren"

Found 2 essays containing the words Viktor Berggren.

  1. 1. Inflation Risk Premium in the Swedish Bond Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Viktor Berggren; Domantas Lubys; [2016]
    Keywords : inflation risk premium; liquidity risk premium; expected inflation; inflation-linked bonds;

    Abstract : The purpose of this study is to investigate the dynamics of the inflation risk premium in the Swedish bond market using nominal and inflation-linked bond yields. We apply a no-arbitrage method extracting real yields from nominal and inflation-linked yields taking the three-month indexation lag inherent in Swedish bond yields into account. READ MORE

  3. 2. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Blomkvist; Viktor Berggren; [2010]
    Keywords : Implied volatility; Volatility smiles; Volatility surface; Options;

    Abstract : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. READ MORE