Essays about: "Volatility"

Showing result 1 - 5 of 819 essays containing the word Volatility.

  1. 1. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Christian Persson; Robin Williams; [2020-07-08]
    Keywords : VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

    Abstract : MSc in Finance.... READ MORE

  2. 2. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    University essay from Göteborgs universitet/Graduate School

    Author : Mohammad Rashidi Ranjbar; [2020-07-08]
    Keywords : Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Abstract : MSc in Finance.... READ MORE

  3. 3. Volatility Curves of Incomplete Markets

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Kateryna Chechelnytska; [2020-06-23]
    Keywords : Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Abstract : The graph of the implied volatility of call options as a function of the strike priceis called volatility curve. If the options market were perfectly described by theBlack-Scholes model, the implied volatility would be independent of the strike priceand thus the volatility curve would be a at horizontal line. READ MORE

  4. 4. What causes fluctuations in the exchange rate? A quantitative study on the underlying variables that affects the Swedish Krona and Euro exchange rate

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oskar Fagerholm; Arien Haghshenas; [2020-02-18]
    Keywords : ;

    Abstract : This paper focuses on analysing the SEK/EURO exchange rate and focuses on testing if 5 specific variables chosen based on previous research affect the SEK/EURO rate. The study uses monthly data from January 2000 to September 2019, the five variables tested are Interest Rate differentials, Inflation Rate differentials, Yield Curve differentials, Implied Volatility Index and the difference in Economic Sentiment. READ MORE

  5. 5. 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