Essays about: "Asset Pricing Model"

Showing result 16 - 20 of 242 essays containing the words Asset Pricing Model.

  1. 16. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Nicolas Kuiper; Martin Westberg; [2023]
    Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE

  3. 17. Forecasting Stock Prices Using an Auto Regressive Exogenous model

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Måns Hjort; Lukas Andersson; [2023]
    Keywords : Bachelor thesis; Asset pricing; Quantitative finance; ARX model; OMX30; Finance; Stocks; Predictive models; Time series analysis; mathematical optimization theory; Gurobi Optimization Software;

    Abstract : This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. READ MORE

  4. 18. Do ESG investors pay a price for doing good - A matched pair analysis of the Swedish fund market.

    University essay from

    Author : Edvin Andersson; Albin Dahlin; Morgan Thisted; [2022-07-11]
    Keywords : ESG; sustainability; Sweden; ESG funds; conventional funds; financial performance; matched pair analysis;

    Abstract : In this thesis we examine the financial performance of Swedish mutual equity funds. We look at differences between sustainable, defined as ESG, and conventional funds. The financial performance is examined using the Capital Asset Pricing Model, the Fama-French three-factor model and Carhart’s four-factor model. READ MORE

  5. 19. The Low Volatility Anomaly in Sweden and its Presence During the Covid-19 Pandemic

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Felicia Ekener; Albin Friedrichsen; [2022-06-30]
    Keywords : Risk; Low volatility anomaly; Covid-19; Capital Asset Pricing Model.;

    Abstract : Investing in the stock market has interested people for a long time as the hope to generate high returns has been an incentive to risk one’s money. From this argumentation has a general relationship between risk-and-return been created. READ MORE

  6. 20. The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Gray; Ricardo Sousa; [2022-06-29]
    Keywords : ;

    Abstract : Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. READ MORE