Essays about: "derivatives index"

Showing result 1 - 5 of 22 essays containing the words derivatives index.

1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   University essay from KTH/Matematik (Avd.)

   Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
   Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

3. 2. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

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

   Author : Eduardo Alberto Alcantara Martinez; [2023]
   Keywords : Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

   Abstract : 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

4. 3. Pricing Complex derivatives under the Heston model

   University essay from KTH/Matematik (Avd.)

   Author : Omar Naim; [2021]
   Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

   Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE

5. 4. Factors Affecting the Number of Trades in ETPs on Nordic Derivatives Exchange

   University essay from KTH/Matematisk statistik

   Author : Simon Carlsson; Erik Allgårdh; [2020]
   Keywords : Regression analysis; trading volume; number of trades; applied mathematics; exchange-traded products; bachelor thesis; NDX; Regressionsanalys; handelsvolym; antal avslut; tillämpad matematik; börshandlade produkter; kandidatexamensarbete; NDX;

   Abstract : This thesis examines which factors that affect the number of trades in exchange-traded products (ETPs) on Nordic Derivatives Exchange. Multiple linear regression is used to model the relationship between the number of trades and 65 initially chosen predictor variables. READ MORE

6. 5. Evaluation of Signal Optimization Software : Comparison of Optimal Signal Pans from TRANSYT and LinSig – A Case Study

   University essay from KTH/Transportplanering

   Author : EVANS OTIENO ODHIAMBO; [2019]
   Keywords : TRANSYT; LinSig; Delay; Practical Reserve Capacity; Optimal cycle time; Optimization.;

   Abstract : The design of traffic signal control plan is directly related to the level of traffic congestion experienced both at the junction level and the network particularly in urban areas. Ensuring signals are well designed is one of the most cost-effective ways of tackling urban congestion problems. READ MORE