Essays about: "pricing models"

Showing result 16 - 20 of 388 essays containing the words pricing models.

  1. 16. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

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

    Author : Johan Luhr; [2023]
    Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

  3. 17. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bao Liu; Chuyue Huan; [2023]
    Keywords : Machine learning; Asset pricing model; Chinese stock market;

    Abstract : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. READ MORE

  4. 18. A Regression Analysis of the Parameters Influencing the Share Price During the First Day After an IPO

    University essay from KTH/Matematisk statistik

    Author : Daniel Johnsson; Matilda Caddeo; [2023]
    Keywords : Regression Analysis; IPO; Stocks; Marketplace; Under pricing; Investment Banking; Prediction; Regressionsanalys; Börsnotering; Aktier; Marknadsplats; Under Pricing; Investment Banking; Predicera;

    Abstract : This study focuses on initial public offerings (IPOs), which are the process of making a company's shares available for public trading on a stock market. Despite global uncertainties in recent years, there has been a high demand for company listings in the market. READ MORE

  5. 19. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts

    University essay from KTH/Matematisk statistik

    Author : Ormia Abdullah Mohamad; Anna Westin; [2023]
    Keywords : Reinsurance; Extreme Value Theory; POT-model; Hill estimator; Risk XL contracts; Generalized Pareto distribution; Method of Moments.; Återförsäkring; Extremevärdesteori; POT-modellen; Hill estimatorn; Risk XL kontrakt; generella Paretofördelningen; Momentmetoden.;

    Abstract : To estimate the risk of a loss occurring for insurance takers is a difficult task in the insurance industry. It is an even more difficult task to price the risk for reinsurance companies which insures the primary insurers. READ MORE

  6. 20. Paving the Path to Self-Sufficiency : Optimizing Photovoltaic Installations on Facilities with Emphasis on Consumption Patterns and Economic Viability

    University essay from Uppsala universitet/Institutionen för samhällsbyggnad och industriell teknik

    Author : Filippa Backman; Amanda Stafberg; Erik Sterner; Alva Wesslén; [2023]
    Keywords : ;

    Abstract : This bachelor's thesis explores the potential of Skolfastigheter's facilities to achieve self-sufficiency through solar power while maintaining economic feasibility. The study specifically examines the economic feasibility of various solar power installation sizes, while also exploring key characteristics of school facilities that influence their level of self-sufficiency. READ MORE