Essays about: "Yield Volatility"

Showing result 1 - 5 of 60 essays containing the words Yield Volatility.

  1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

    University essay from Umeå universitet/Företagsekonomi

    Author : Anthony Baugi; Eugene Zhang; [2024]
    Keywords : Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

    Abstract : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. READ MORE

  3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    University essay from KTH/Matematik (Avd.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

  4. 3. A Mixed Time-Series & Machine Learning Approach for Price Forecasting in the Swedish Ancillary Market

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Daniel Arredondo; [2023]
    Keywords : Hybrid model; Volatility model; Machine learning model; Price spike prediction; Energy trading; Time series forecasting; Ancillary service market; Business and Economics;

    Abstract : This study aims to forecast the Swedish FCR-D Down A2 market prices through a hybrid model combining a volatility model and a machine learning approach, and compares its performance with a standalone machine learning model. We further examine the impact of different lag orders (1-Hr vs. 24-Hr) on volatility estimates and forecast performance. READ MORE

  5. 4. Beyond Credit Ratings: The Role of (E)SG in Sovereign Debt Investments

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Wollmann; Filip Frisk; [2023]
    Keywords : ESG rating; Sovereign debt investments; Sovereign bond yields; Sustainability;

    Abstract : The study investigates the correlation between ESG performance and sovereign bond yield spreads using regression analysis. The results reveal a significant negative correlation between the Governance and Social indices and bond spreads, emphasising the importance of good governance practices and social stability in reducing the risk of sovereign debt default. READ MORE

  6. 5. The Predictive Power of Implied Volatility in Option Pricing

    University essay from KTH/Matematisk statistik

    Author : Lovisa Berglund; [2023]
    Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE