Essays about: "Short-term interest rate"

Showing result 11 - 15 of 71 essays containing the words Short-term interest rate.

  1. 11. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  3. 12. Determinants of Capital Structure : A Quantitative Study on Swedish Listed Firms

    University essay from Umeå universitet/Företagsekonomi

    Author : Rasmus Johansson; Lindberg Filip; [2022]
    Keywords : Capital Structure; Debt Ratio; Macro- and Microeconomic Determinants; Listed Firms; Sweden;

    Abstract : In the finance literature determinants of Capital structure have been widely debated. Previous studies have mainly focused on microeconomic determinants in countries outside Sweden and research on the Swedish market has been sparse. READ MORE

  4. 13. The Intertwining of Sectoral Stock Market Volatility and Macroeconomic Fundamentals - A study of Sweden's sectoral indices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonathan Bark; Melker Lundberg; [2021]
    Keywords : HAR-RV; Stock Sectors; Realized Volatility; Business and Economics;

    Abstract : The stock market has come to play a larger role in many people's lives as years pass and its accessibility has come to be exponentially easier for many. Investment in publicly listed companies has become a foundation of saving and a way of managing wealth for the general public. READ MORE

  5. 14. The role of location of low inertia in power systems

    University essay from Uppsala universitet/Institutionen för elektroteknik

    Author : Bashar Alahmad; [2021]
    Keywords : Low inertia; Frequency stability; Rotor-angle stability; Nordic 32; Kundur; PowerFactory; Small-signal stability; Inter-area oscillation; Rate of Change of Frequency.;

    Abstract : The plans to reduce the energy-related greenhouse gas emissions stimulate the deployment of electronically interfaced renewable resources. The increased penetration of such intermittent sources together with phasing conventional power plants out and the installation of High Voltage Direct Current (HVDC) links for long-distance more efficient transmission, reduces the stored inertia in any electrical grid. READ MORE

  6. 15. Factor Models For The Term Structure Of STIBOR Rates

    University essay from Lunds universitet/Matematisk statistik

    Author : Jonatan Persson; [2021]
    Keywords : Interest rates; Time series; State space models; Mathematics and Statistics;

    Abstract : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. READ MORE