Essays about: "FTSE100"

Showing result 6 - 10 of 10 essays containing the word FTSE100.

  1. 6. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  3. 7. Value-at-Risk Estimation Under Shifting Volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ola Skånberg; [2013]
    Keywords : VaR; GARCH; Volatility; Basel; Forecast; Business and Economics;

    Abstract : Due to the Basel III regulations, Value-at-Risk (VaR) as a risk measure has become increasingly important in Europe for financial institutions. But even though it has become an important risk measure, both internally within company reporting and externally due to legislation, there is no one single way to forecast VaR that has yet proven to be superior. READ MORE

  4. 8. What makes a successful stock? Investigating the characteristics of the "winning bets" stocks in the FTSE100

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mustafa Mehmed; Mazen Mohamad Diwani; [2010]
    Keywords : UK markets; FTSE100; financial indicators; financial performance; Successful companies; Sharpe index ratio; Jensen´s alpha; Business and Economics;

    Abstract : Using quarterly data on 55 UK domiciled companies within the FTSE100 collected from DataStream database covering the period 1991-2009, we investigate which factors are distinguished between financially successful and less successful companies. In this study, portfolio analysis and OLS regression were performed upon the theoretical concepts of financial variables. READ MORE

  5. 9. THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR : FTSE 100 of the London Stock Exchange

    University essay from Handelshögskolan vid Umeå universitet

    Author : Zillah Anagho; Kenneth Tah; [2007]
    Keywords : Ex-dividend Day Behavior; Efficient Market Hypothesis;

    Abstract : In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006. READ MORE

  6. 10. Portfolio optimization: A trading strategy based on time varying volatility

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Henrik Gripenvik; [2006]
    Keywords : ;

    Abstract : This thesis evaluates the possibility of making relatively reliable forecasts of future variances, covariances and returns of a portfolio of risky assets. The forecasts are used as input- variables in a trading strategy based on the Markowitz portfolio optimization algorithm forming an ex ante-optimal portfolio of stocks. READ MORE