Essays about: "Nikkei"
Showing result 1 - 5 of 12 essays containing the word Nikkei.
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1. Parameter Update Schemes for Hidden Markov Models applied to Financial Returns
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis was dedicated to investigating the use of different parameter update schemes for Hidden Markov models with time-varying parameters, with an emphasis on developing alternatives to the quasi-Newton step. The focus was on applications to financial returns, using data from the S\&P-500 and the Nikkei index, and for comparison, a trial using synthetic data was also performed. READ MORE
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2. Bitcoin vs Gold, The Hedge Game - Volatility and Portfolio Analysis of Bitcoin and Gold during Market Distress
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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3. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE
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4. Implied Volatility Surface Construction
University essay from Umeå universitet/Institutionen för fysikAbstract : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. READ MORE
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5. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans
University essay from Linköpings universitet/ProduktionsekonomiAbstract : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. READ MORE