Essays about: "jump risk"

Showing result 21 - 25 of 26 essays containing the words jump risk.

1. 21. The effects on knee angular velocity after a 6-weeks training period with the new training device ProPrioPlate- a pilot study

   University essay from Biomekanik och biomedicin

   Author : Johan Herö; [2014]
   Keywords : angular velocity; knee stability; knee abduction;

   Abstract : AbstractBackground: ACL injuries is common and can result in long term disability or even have a career ending outcome for the athlete. Women are more exposed to ACL injuries than men are and several factors increase the risk of ACL injuries for women where one is the knee angle velocity. READ MORE

3. 22. Pricing a basket option when volatility is capped using affinejump-diffusion models

   University essay from KTH/Matematisk statistik

   Author : Daniel Krebs; [2013]
   Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

   Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE

4. 23. The Effects of a New ACL-Injury Prevention Device on Knee Kinematics and Hamstring and Quadriceps Co-Contraction : A Pilot Study

   University essay from Sektionen för ekonomi och teknik (SET)

   Author : Niklas Andersson; [2013]
   Keywords : Hamstring-quadriceps co-contraction; dynamic valgus; knee abduction; anterior cruciate ligament ACL injury; injury prevention; gender differences;

   Abstract : Background: The incidence of anterior cruciate ligament (ACL) –injury is 3-5 times greater in female athletes compared to male athletes. This may be partially attributed to lower levels of hamstring-quadriceps co-contraction in females with subsequent knee kinematics that increases risk of ACL-injury. READ MORE

5. 24. Pricing of exotic options under the Kou model by using the Laplace transform

   University essay from Tillämpad matematik och fysik (MPE-lab)

   Author : Gayk Dzharayan; Elena Voronova; [2011]
   Keywords : Financial Mathematics; Double exponential jump-diusion model; Kou model; Laplace transform; Laplace transform inversion; two-dimensional Euler algorithm; two-asset correlation options.;

   Abstract : In this thesis we present the Laplace transform method of option pricing and it's realization, also compare it with another methods. We consider vanilla and exotic options, but more attention we pay to the two-asset correlation options. READ MORE

6. 25. Predictive Power of the Volatility Smile

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Henry Li; Johan Möller; [2011]
   Keywords : Volatility smile; Geometric Brownian Motion with Jump diffusion; Maximum Likelihood Estimation; Jump risk; Predictive Power;

   Abstract : The Black-Scholes option pricing formula yield lower volatility than volatility observed in the market when looking at option prices. Several theories have been presented to explain this phenomenon and how the world of finance can use this information. READ MORE