Essays about: "Ornstein-Uhlenbeck model"

Showing result 1 - 5 of 11 essays containing the words Ornstein-Uhlenbeck model.

  1. 1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    University essay from KTH/Matematik (Avd.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

  3. 2. Modeling the Relation Between Implied and Realized Volatility

    University essay from KTH/Matematisk statistik

    Author : Tobias Brodd; [2020]
    Keywords : Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

    Abstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE

  4. 3. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

    University essay from KTH/Matematisk statistik

    Author : Felix Greberg; [2020]
    Keywords : Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

    Abstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE

  5. 4. FX Trading Using Gaussian Processes

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ahmed Daadooch; [2018]
    Keywords : Gaussian Process Regression; Trading; FX; Foreign Exchange; Machine Learning; Business and Economics;

    Abstract : Machine learning and its application within finance have gained popularity the last decade. The traditional trading roles are changing rapidly and are being increasingly automated with algorithmic trading strategies, by proprietary trading firms, market makers, and other financial institutions. READ MORE

  6. 5. The application of Ornstein-Uhlenbeck Process model and ARCH/GARCH model in statistical arbitrage

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jianbo Wang; Jianyang Fang; [2017]
    Keywords : statistical arbitrage; Ornstein-Uhlenbeck model; GARCH model; Business and Economics;

    Abstract : Statistical arbitrage is widely used in the quantitative based trading strategies. In this paper, we mainly use Ornstein-Uhlenbeck (O-U) process model and the GARCH model to estimate the parameters and verify trading signals for the statistical arbitrage. In addition, a new model is created through the combination of O-U model and GARCH model. READ MORE