Essays about: "Financial Modelling"

Showing result 1 - 5 of 133 essays containing the words Financial Modelling.

1. 1. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Irina Zarankina; [2023]
   Keywords : ARMA; ARIMA; LSTM; time series; statistics;

   Abstract : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. READ MORE

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Lucas Fageräng; Hugo Thoursie; [2023]
   Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

4. 3. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Sebastian Mortimore; William Sturehed; [2023]
   Keywords : GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Abstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE

5. 4. Hydrogen fuel in the domestic maritime transport sector of Fiji : A Feasibility Study

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Tilda Eklund; Anna Fredén; [2023]
   Keywords : Fiji; Fuel Cell; Maritime Hydrogen; Maritime Transport; Fiji; Bränslecell; Maritim Vätgas; Maritim Transport;

   Abstract : The maritime transport sector accounts for around 2.9% of the world’s anthropogenic emissions, a percentage that is growing yearly. Alternative fuels have come to be considered the necessary solution of the future, not least in island nations such as Fiji that are socially and economically dependent on sustainable maritime transport. READ MORE

6. 5. Dynamic modelling of electricity arbitrage for single-family homes : Assessing the cost-effectiveness of implementing Energy Storage and Demand-Side Load Management.

   University essay from Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)

   Author : Ahmed Ali; [2023]
   Keywords : Electricity arbitrage trading; intraday electricity market; energy storage system; demand-side load management; single-family homes; Nord Pool; building performance simulation IDA Indoor Climate and Energy ; financial modelling.;

   Abstract : In the context of electricity, arbitrage trading involves taking advantage of existing price variations within electricity markets. The report conducted financial modelling for energy storage systems and demand-side load management for electricity arbitrage trading in single-family homes. READ MORE