Essays about: "Volatility"

Showing result 1 - 5 of 949 essays containing the word Volatility.

  1. 1. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
    Keywords : ;

    Abstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE

  2. 2. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes

    University essay from Lunds universitet/Statistiska institutionen

    Author : Felix Viitanen; Erik Lundgren; [2022]
    Keywords : Mathematics and Statistics;

    Abstract : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. READ MORE

  3. 3. The search for safe haven assets in the time of a global pandemic

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Katja Rasic; [2022]
    Keywords : Volatility spillover; diagonal BEKK-GARCH; global pandemic; safe haven; Business and Economics;

    Abstract : The global pandemic has initially negatively influenced the financial markets all over the world. As a consequence, the volatility in the stock markets increased and investors have experienced great monetary losses. READ MORE

  4. 4. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Elisabeth Molin; [2022]
    Keywords : Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Abstract : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. READ MORE

  5. 5. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
    Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE