Essays about: "Volatilitet"

Showing result 1 - 5 of 49 essays containing the word Volatilitet.

  1. 1. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

  2. 2. Capturing Tail Risk in a Risk Budgeting Model

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Filip Lundin; Markus Wahlgren; [2020]
    Keywords : ;

    Abstract : Risk budgeting, in contrast to conventional portfolio management strategies, is all about distributing the risk between holdings in a portfolio. The risk in risk budgeting is traditionally measured in terms of volatility and a Gaussian distribution is commonly utilized for modeling return data. READ MORE

  3. 3. Modeling the Relation Between Implied and Realized Volatility

    University essay from KTH/Matematisk statistik

    Author : Tobias Brodd; [2020]
    Keywords : Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

    Abstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE

  4. 4. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Erik Malmgren; Annie Zhang; [2020]
    Keywords : GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Abstract : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. READ MORE

  5. 5. Optimization of a Combined Heat and Power Plant for the Future Electricity Market : A case study conducted at Söderenergi AB

    University essay from KTH/Energiteknik; KTH/Energiteknik

    Author : Linnéa Karkulahti; Monika Mizgalewicz; [2020]
    Keywords : energy; CHP; electricity prices; modeling; BoFiT; optimization; energi; kraftvärmeverk; elpriser; modellering; BoFiT; optimering;

    Abstract : The Swedish energy system is changing and two major events that are taking place are the phase out of nuclear power and the increase of wind power. The associated changes affect the electricity market and the electricity producers, including combined heat and power plants. READ MORE