Essays about: "arbitrage pricing"

Showing result 6 - 10 of 39 essays containing the words arbitrage pricing.

  1. 6. Constrained Gaussian Process Regression Applied to the Swaption Cube

    University essay from KTH/Matematik (Avd.)

    Author : Adrien Deleplace; [2021]
    Keywords : Swaption cube; Constrained Gaussian process regression; No arbitrage; Option pricing; Hamiltonian Monte Carlo; Swaption-kuben; Regression för gaussiska processer med bivillkor;

    Abstract : This document is a Master Thesis report in financial mathematics for KTH. This Master thesis is the product of an internship conducted at Nexialog Consulting, in Paris. This document is about the innovative use of Constrained Gaussian process regression in order to build an arbitrage free swaption cube. READ MORE

  3. 7. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  4. 8. Modelling Seasonalities of HPFCs Using a Parametric Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Reza Rastegar; Lucas Svantesson; [2019]
    Keywords : Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Abstract : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). READ MORE

  5. 9. Implied Volatility Surface Construction

    University essay from Umeå universitet/Institutionen för fysik

    Author : Erik Magnusson; [2018]
    Keywords : ;

    Abstract : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. READ MORE

  6. 10. The Effectiveness of Fundamental Analysis on Value Stocks – an Analysis of Piotroski’s F-score

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Staffan Bülow; [2017]
    Keywords : F-score; Fundamental Analysis; Value Stocks; Abnormal Returns; Market Efficiency; Behavioral Finance; Business and Economics;

    Abstract : In an efficient market, assets reflect all available information. Hence, investors cannot earn abnormal returns by conducting fundamental analysis since all financial data is impounded in the asset. The only way for an investor to earn higher returns is by incurring increased risk. READ MORE