Essays about: "Donald Harding"

Found 2 essays containing the words Donald Harding.

1. 1. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

   University essay from IHH, Economics, Finance and Statistics

   Author : Donald Harding; [2013]
   Keywords : ;

   Abstract : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. READ MORE

3. 2. Volatility forecasting in the Swedish hedge fund market : A comparison of downside-risk between Swedish hedge funds and the index S&P Europe 350

   University essay from IHH, Economics, Finance and Statistics

   Author : Donald Harding; [2012]
   Keywords : Hedge Fund; Value-at-Risk; GARCH; EGARCH; Filtered Historical Simulation; Equity L S; VaR; FHS VaR;

   Abstract : The purpose of this thesis is to examine whether Swedish Equity L/S hedge funds present a lower market risk than the index S&P Europe 350 over our holding period using a GARCH/EGARCH Value-at-Risk model. The sample consists of 96 monthly observa- tions between March 2004 and February 2012. READ MORE