Essays about: "Stokastisk volatilitets modell"

Found 3 essays containing the words Stokastisk volatilitets modell.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  3. 2. Particle-based Stochastic Volatility in Mean model

    University essay from KTH/Matematisk statistik

    Author : Gustav Kövamees; [2019]
    Keywords : Stochastic volatility model; Volatility feedback theory; hidden Markov model; particle filter; Expectation-Maximization algorithm; PaRIS-algorithm; Stokastisk volatilitets modell; dold Markov modell; partikel-filter; Förväntan-Maximering algorithm; PaRIS-algoritm; volatilitets-återkopplings-teori;

    Abstract : This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. READ MORE

  4. 3. The Swap Market Model with Local Stochastic Volatility

    University essay from KTH/Matematisk statistik

    Author : Mohammed Benmakhlouf Andaloussi; [2019]
    Keywords : ;

    Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE