Essays about: "Risk-neutral probability"

Showing result 6 - 10 of 13 essays containing the words Risk-neutral probability.

1. 6. Alternative Methods of Estimating Investor´s Risk Appetite

   University essay from KTH/Matematisk statistik

   Author : Felix Kuritzén; [2019]
   Keywords : Risk appetite; Riskaptit;

   Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE

3. 7. Measuring the Risk-neutral Probability Distribution of Equity Index Options

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Dackner; Linus Falk; [2019]
   Keywords : ;

   Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

4. 8. Anticipated Events’ Impact on FX Options’ Implied Volatility

   University essay from Lunds universitet/Matematisk statistik

   Author : Frej Håkansson; Björn Nilsson; [2018]
   Keywords : Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

   Abstract : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. READ MORE

5. 9. Exposure At Default During Financial Stress - A Comparative Study

   University essay from Lunds universitet/Matematisk statistik

   Author : Susanna Haglund; Julia Ripa; [2016]
   Keywords : Exposure At Default; EAD; Interest Rate Swap; Kalman Filter; Monte Carlo; Real World Probability Measure; Risk Neutral Probability Measure; Vasicek Model.; Mathematics and Statistics;

   Abstract : In recent years the capital requirements for banks have been updated which has complicated the pricing procedure for derivatives. Nordea has developed a proxy model that approximates the risk measure Exposure At Default, which is an important component in the recently updated requirements. READ MORE

6. 10. Risk premia implied by derivative prices

   University essay from KTH/Matematisk statistik

   Author : Richard Steffen; [2015]
   Keywords : ;

   Abstract : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. READ MORE