Essays about: "constant volatility"
Showing result 1 - 5 of 55 essays containing the words constant volatility.
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1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)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
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2. The Predictive Power of Implied Volatility in Option Pricing
University essay from KTH/Matematisk statistikAbstract : 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
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3. Development of an investment model for pumped storage hydropower
University essay from Uppsala universitet/ElektricitetsläraAbstract : The energy market is evolving, with a prediction of heavily increased consumption and, consequently, increased production. In parallel, EU directives with targets prioritising fossil-free electricity production, reduction of greenhouse gas emissions and becoming climate neutral by 2050, poses a challenge for the current state of electricity production in the Nordics. READ MORE
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4. Merton's Portfolio Problem under Grezelak-Oosterlee-Van Veeren Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Merton’s Optimal Investment-Consumption Problem is a classic optimization problem in finance. It aims to find the optimal controls for a portfolio with both risky and risk-less assets, inorder to maximize an investor’s utility function. READ MORE
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5. Modelling Risk in Real-Life Multi-Asset Portfolios
University essay from KTH/Matematik (Avd.)Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. READ MORE