Essays about: "Local Volatility"

Showing result 1 - 5 of 37 essays containing the words Local Volatility.

  1. 1. Exploring the interactions between local public opinion, the media, and foreign policy toward Chinese investments in Ecuador

    University essay from Stockholms universitet/Nordiska Latinamerikainstitutet

    Author : Anuar Temirov; [2022]
    Keywords : Public opinion about China; Ecuador; foreign policy; Ecuadorian media; Chinese credit and investment; time series regression; content analysis;

    Abstract : In an increasingly polarizing world, the debate on the importance of public opinion in shaping foreign policy decisions has been raging over. This study explores the interactions between Chinese investment and credit and public opinion about China in Ecuador from 2012 to 2021 through two classical international relations theories: the realist and liberal hypotheses. READ MORE

  3. 2. What role does uncertainty play in the housing markets of selected European Countries?

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

    Author : Emil Enges; Hampus Torehov; [2022]
    Keywords : Housing market; Housing prices; SVAR model; Economic policy uncertainty;

    Abstract : In this study, we investigate the relationship between national and global uncertainty with house prices. Uncertainty is measured with the economic policy uncertainty index developed by Baker et al. (2016). READ MORE

  4. 3. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Massimiliano Severi; [2021]
    Keywords : Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

    Abstract : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. READ MORE

  5. 4. Hedging of a foreign exchange swapbook using Stochastic programming

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Emma Bohlin; Jonatan Harling; [2021]
    Keywords : term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Abstract : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. READ MORE

  6. 5. When to expect decreasing implied volatilities

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Tobias Nordahl; [2020]
    Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

    Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE