Essays about: "Arbitrage Pricing"

Showing result 11 - 15 of 39 essays containing the words Arbitrage Pricing.

  1. 11. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE

  3. 12. On-Line Market Microstructure Prediction Using Hidden Markov Models

    University essay from KTH/Matematisk statistik

    Author : Måns Tillman; [2017]
    Keywords : ;

    Abstract : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. READ MORE

  4. 13. The Effect of Bond Convexity in Abnormal Volatility

    University essay from

    Author : Adam Prinselaar; Johan Särén; [2016-07-06]
    Keywords : Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

    Abstract : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. READ MORE

  5. 14. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

    University essay from Lunds universitet/Matematisk statistik

    Author : Mattias Jönsson; Ulrica Såmark; [2016]
    Keywords : Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

    Abstract : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. READ MORE

  6. 15. Gap Premium Pricing in Leveraged Exchange Traded Notes

    University essay from KTH/Matematisk statistik

    Author : Axel Broström; Richard Krstiansson; [2016]
    Keywords : ;

    Abstract : Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. READ MORE