Essays about: "arbitrage-free market"

Showing result 1 - 5 of 8 essays containing the words arbitrage-free market.

1. 1. Option Modelling by Deep Learning

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Niclas Klausson; Victor Tisell; [2021-02-10]
   Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

   Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

3. 2. The Calibrated SSVI Method - Implied Volatility Surface Construction

   University essay from KTH/Matematisk statistik

   Author : Adam Öhman; [2019]
   Keywords : Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

   Abstract : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. READ MORE

4. 3. 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. 4. The Effect of Bond Convexity in Abnormal Volatility

   University essay from

   Author : Adam Prinselaar; Johan Särén; [2016-07-06]
   Keywords : Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

   Abstract : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. READ MORE

6. 5. A framework for modeling the liquidity and interest rate risk of demand deposits

   University essay from KTH/Matematisk statistik

   Author : Peter Henningsson; Christina Skoglund; [2016]
   Keywords : Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

   Abstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE