Essays about: "Asset price volatility"

Showing result 11 - 15 of 55 essays containing the words Asset price volatility.

1. 11. Pricing Complex derivatives under the Heston model

   University essay from KTH/Matematik (Avd.)

   Author : Omar Naim; [2021]
   Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

   Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE

3. 12. Index price volatility during ban periods: The case of KOSPI200 : A quantitative study on the effectiveness of short-selling bans on index price volatility in the South Korean stock market

   University essay from Jönköping University/IHH, Nationalekonomi

   Author : Jesper Ervell; Gabriel Flores; [2021]
   Keywords : ;

   Abstract : Short-selling allows investors to profit from asset declines. In the events of market uncertainty, short sellers are frequently accused of abusing the increasingly volatile market by betting on declining stock prices. READ MORE

4. 13. Predicting Stock Price Direction for Asian Small Cap Stocks with Machine Learning Methods

   University essay from KTH/Matematik (Avd.)

   Author : Tina Abazari; Sherwin Baghchesara; [2021]
   Keywords : Machine Learning; Classification; Classification Trees; Random Forest; Support Vector Machine; Logistic Regression; Stocks; Stock Market; Asset Management; Investments; Asia; Small Cap; Micro Cap; Maskininlärning; Klassificering; Klassificeringsträd; Random Forest; Support Vector Machine; Logistisk Regression; Aktier; Aktiemarknad; Fondförvaltning; Investeringar; Asien; Småbolag; Mikrobolag.;

   Abstract : Portfolio managers have a great interest in detecting high-performing stocks early on. Detecting outperforming stocks has for long been of interest from a research as well as financial point of view. Quantitative methods to predict stock movements have been widely studied in diverse contexts, where some present promising results. READ MORE

5. 14. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Axel Löveråsen; Erik Tyrsing; [2021]
   Keywords : Bitcoin; Gold; Hedge; Volatility; Portfolio Analysis; Business and Economics;

   Abstract : Over the recent years the interest in cryptocurrencies and Bitcoin has increased significantly. The price of Bitcoin has gone up substantially since the end of 2020 and more individual and institutional investors are incorporating Bitcoin to their portfolio. READ MORE

6. 15. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

   University essay from Lunds universitet/Matematisk statistik

   Author : Adam Löfquist; Erik Ottosson; [2021]
   Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

   Abstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE