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Showing result 1 - 5 of 22 essays matching the above criteria.

1. 1. Option Modelling by Deep Learning

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Niclas Klausson; Victor Tisell; [2021-02-10]
   Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

   Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

3. 2. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

   University essay from KTH/Matematisk statistik

   Author : Rawand Sultani; [2020]
   Keywords : Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

   Abstract : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. READ MORE

4. 3. The Implications of Increased Passive Investment: A Theoretical Approach

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Henrik Taro Hansson; Lisa-Maria Jonsson; [2020]
   Keywords : Passive Investment; Capital Markets; Market Efficiency; Asset Market Simulation;

   Abstract : In this thesis, a theoretical model is constructed to assess potential implications of increased passive investment on capital market efficiency and stability. A population of active and passive investors is simulated in an artificial asset market to examine how the share of passive investment affects pricing efficiency, volatility, and comovement between assets. READ MORE

5. 4. Evaluating VaR and ES for commodities - both conventionally and with neural networks

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : David Fang; Måns Eile; [2020]
   Keywords : Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

   Abstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. READ MORE

6. 5. ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES

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

   Author : Jean-Pierre Kayal; Martin Norberg; [2020]
   Keywords : Investment strategies; Portfolio Selection Strategies; Pension Foundation;

   Abstract : Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. READ MORE