Essays about: "Volatility surface"
Showing result 1 - 5 of 25 essays containing the words Volatility surface.
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1. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenon
University essay from Jönköping University/Internationella HandelshögskolanAbstract : 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
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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)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
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3. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : 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
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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.)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
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5. Pricing Complex derivatives under the Heston model
University essay from KTH/Matematik (Avd.)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