Essays about: "Volatility Surface"

Showing result 1 - 5 of 25 essays containing the words Volatility Surface.

  1. 1. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenon

    University essay from Jönköping University/Internationella Handelshögskolan

    Author : Vladislovas Urbonavicius; Iulia Chirita; [2023]
    Keywords : Sustainable investment portfolio; ESG; Covid-19; Flight-to-quality; Market Shock; Cryptocurrency; Proof-of-stake; proof-of-work.;

    Abstract : The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. READ MORE

  3. 2. Board diversity, an unsolvable problem? : A comprehensive study about Swedish and Danish listed companies on how board diversification affects a performance measure.

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Jonathan Nagy; Oscar Gustavsson; [2023]
    Keywords : Gender quotas; Sweden; Denmark; Tokenism; Research and Development; Earnings per share volatility; Growth in earnings per share volatility; Diversity; Board of directors; Fraction of women; EU directive 2022 2381 ; Könskvotering; Sverige; Danmark; Tokenism; Forskning och utveckling; Vinst per aktie volatilitet; Tillväxt i vinst per aktie volatilitet; Mångfald; Styrelse; Andel av kvinnor; EU-direktiv 2022 2381 ;

    Abstract : On the surface, Sweden and Denmark are two similar countries, but behind the closed boardroom doors, things look different. These two countries have chosen different approaches to achieving their goals and the diversification within the boards differs markedly. READ MORE

  4. 3. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Eduardo Alberto Alcantara Martinez; [2023]
    Keywords : Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

    Abstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE

  5. 4. 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

  6. 5. Pricing Complex derivatives under the Heston model

    University essay from KTH/Matematik (Avd.)

    Author : Omar Naim; [2021]
    Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE