Essays about: "nonlinear volatility"

Showing result 1 - 5 of 8 essays containing the words nonlinear volatility.

  1. 1. LSTM-based Directional Stock Price Forecasting for Intraday Quantitative Trading

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Isabella Mustén Ross; [2023]
    Keywords : Deep Learning; Long-Short-Term-Memory LSTM ; ARIMA; Financial Time Series Forecasting; Algorithmic Trading; Intraday Trading; Stock Prediction; Djupinlärning; LSTM; ARIMA; finansiella tidsserier; algoritmisk aktiehandel; intradagshandel; aktieprediktion;

    Abstract : Deep learning techniques have exhibited remarkable capabilities in capturing nonlinear patterns and dependencies in time series data. Therefore, this study investigates the application of the Long-Short-Term-Memory (LSTM) algorithm for stock price prediction in intraday quantitative trading using Swedish stocks in the OMXS30 index from February 28, 2013, to March 1, 2023. READ MORE

  3. 2. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

    University essay from Göteborgs universitet/Graduate School

    Author : Oscar Thelander; [2021-02-02]
    Keywords : ;

    Abstract : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). READ MORE

  4. 3. 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

  5. 4. The effect of financial liberalization on economic growth: A panel data analysis of 38 countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Shufei Zhang; [2019]
    Keywords : Financial deepening theory; Financial liberalization; Economic growth; Panel data model; Business and Economics;

    Abstract : This paper empirically surveys the actual links between financial liberalization and economic growth by drawing lessons from both developed and emerging economies over 26 years. The macroeconomic indicators for economic growth are GDP per capita growth, growth volatility, and real lending interest rate. READ MORE

  6. 5. CEO? Or More Like RiskEO? : A Cross-Sectional Study of CEO Characteristics and Firm Risk-Taking

    University essay from Umeå universitet/Företagsekonomi

    Author : Peter Gustafsson; Eda Uysal; [2018]
    Keywords : CEO characteristics; Upper Echelon Theory; Risk-taking; Agency Theory; Prospect Theory; Swedish market;

    Abstract : Risk is something intrinsic to business, and something firms are exposed to on a daily basis. This means that there exists a great deal of pressure on the Top Management of a firm to successfully navigate the different risks to which they are exposed. READ MORE