Essays about: "Skewness and Kurtosis"
Showing result 11 - 15 of 30 essays containing the words Skewness and Kurtosis.
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11. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE
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12. The potential benefits of investing in commodities : A study of the properties related to the investment in several commodities and adding them to stock portfolios
University essay from Umeå universitet/FöretagsekonomiAbstract : Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. READ MORE
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13. Carry trade optimization
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis investigates various possible improvements of implementing the carry trade. For this purpose a number of benchmark carry trade strategies are formed to which the results of the modified strategies are compared. READ MORE
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14. A Regime Switching Model - Applied to the OMXS30 and Nikkei 225 indices
University essay from Göteborgs universitet/Graduate SchoolAbstract : This Master of Science thesis investigates the performance of a Simple Regime Switching Model compared to the GARCH(1,1) model and rolling window approach. We also investigate how these models estimate the Value at Risk and the modified Value at Risk. The underlying distributions that we use are normal distribution and Student’s t-distribution. READ MORE
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15. RND estimation stability with respect to methodology : A study on the EURO STOXX 50 index around the September 2008 stock market crash
University essay from KTH/Matematisk statistikAbstract : The aim of this study is to investigate whether implied RND functions are stable with respect to the choice of estimation methodology and whether the stability is affected by the stock market crash of September 15 2008. In order to do so, I estimate RND functions for the EURO STOXX 50 equity index using two different methods, namely the fully parametric two-lognormal method and a curve-fitting method based on the approach proposed by Shimko (1993). READ MORE