Essays about: "finansiell matematik."

Showing result 1 - 5 of 39 essays containing the words finansiell matematik..

  1. 1. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Axel Nilsson; [2022]
    Keywords : Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Abstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE

  2. 2. Evaluation of the decision-making process for credit decisions at Preem AB

    University essay from KTH/Matematisk statistik

    Author : Annie Holgersson; Theresa Döös; [2022]
    Keywords : credit; applied mathematics; statistics; logistic regression; kredit; tillämpad matematik; statistik; logistisk regression;

    Abstract : The purpose of the following bachelor thesis report within mathematical statistics was to evaluate the decision making process at the credit department at Preem AB. The study used a logistic regression model to find a relationship between the probability of an application for credit being accepted and some quantitative and categorical factors about the applicant. READ MORE

  3. 3. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  4. 4. SUSTAINABLE INVESTMENTS IMPACT ON FINANCIAL PERFORMANCE : A Panel Data Analysis of the Relationship Between ESG Factors and Financial Performance

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Filip Forsgren; Marcus Öström; [2022]
    Keywords : Sustainable Investments; ESG Score; Financial Performance; Panel Data Analysis; Panel Regression; Hållbara investeringar; ESG score; Finansiell prestanda; Panel data analys; Panel regression;

    Abstract : Sustainability is a broad concept where sustainability factors have become more fundamental during the recent years. However, the importance of these factors has not been as central when explaining stock returns. Thus, we perform this study with the aim to investigate the relationship between sustainability factors and financial performance. READ MORE

  5. 5. Risk Evaluation in a ML-Approximated Portfolio Environment

    University essay from KTH/Matematik (Avd.)

    Author : Filip Franzén; Karl Axel Nord; [2022]
    Keywords : Financial risk management; forecasting; machine learning; FMCG; Finansiell riskhantering; prognostisering; maskininlärning; konsumtionsvaror;

    Abstract : This thesis explores and evaluates the forecasting application of the machine learning method Gradient Boosting Decision Trees. This method is used to forecast the demand of the online grocery market with a 7-day time horizon. The thesis was conducted in collaboration with the online grocery company Mathem. READ MORE