Advanced search

Showing result 1 - 5 of 14 essays matching the above criteria.

1. 1. Volatility Forecasting using GARCH Processes with Exogenous Variables

   University essay from KTH/Matematisk statistik

   Author : Ellis Larson; [2022]
   Keywords : Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

   Abstract : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. READ MORE

3. 2. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

   University essay from Göteborgs universitet/Graduate School

   Author : Christian Persson; Robin Williams; [2020-07-08]
   Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

   Abstract : The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. READ MORE

4. 3. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

5. 4. Option strategies using hybrid Support Vector Regression - ARIMA

   University essay from KTH/Matematisk statistik

   Author : Negin Nayeri; [2020]
   Keywords : ;

   Abstract : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. READ MORE

6. 5. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Carl Paulin; Maja Lindström; [2020]
   Keywords : Financial mathematics; option pricing; calibration; options; parameter calibration; Black Scholes Merton model; Heston model; Bates model; Merton jump diffusion model; Black Scholes;

   Abstract : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. READ MORE