Essays about: "variance swap"

Showing result 1 - 5 of 10 essays containing the words variance swap.

  1. 1. Extraction method comparison for PCR analysis of human samples

    University essay from KTH/Kemi

    Author : Lukas Jackalin; [2023]
    Keywords : PCR; RNA; DNA; diagnostik; Sars-Cov-2; PCR; RNA; DNA; diagnostics; SARS-Cov-2;

    Abstract : Den här studien genomfördes för att jämföra två instrumentuppsättningar, EasyMag och Kingfisher Flex, med avseende på effektivitet i förmåga att extrahera DNA och RNA inför diagnostiska tester med PCR. Studien utfördes SYNLAB Sverige AB i samband med avslutandet av allmän screening för Covid-19 och övergång till IVDR godkända instrument. READ MORE

  3. 2. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

  4. 3. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

  5. 4. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE

  6. 5. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

    University essay from Göteborgs universitet/Graduate School

    Author : Eric Öström; [2016-05-23]
    Keywords : ;

    Abstract : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. READ MORE