Essays about: "log-normal distribution"

Showing result 6 - 8 of 8 essays containing the words log-normal distribution.

  1. 6. Empirical evaluation of a Markovian model in a limit order market

    University essay from Matematiska institutionen

    Author : Filip Trönnberg; [2012]
    Keywords : Markovian model; limit order book; limit order market; stock; stock market; price dynamics; log-normal; distribution; exponential; Weibull; Markovian queuing system; empirical data; financial assets; trading; trader; high; frequency; trading; order book; order flow; HFT; Joint probability density function; bid queue; ask queue;

    Abstract : A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. READ MORE

  3. 7. Expected Shortfall as a Complement to Value at Risk - A study applied to commodities

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filippa Gerstädt; Maria Olander; [2010]
    Keywords : Value at Risk; Expected Shortfall; nine approaches; backtesting; Business and Economics;

    Abstract : Basel II requires Value at Risk (VaR) as a standardized risk measure for calculating market risk. However, the validity of the risk measure has been questioned since it neglects the losses beyond the VaR level. Expected Shortfall (ES) is a response to this limitation, as it is defined as the average of the losses ignored by VaR. READ MORE

  4. 8. Pricing Options on the Nordic Power Exchange Nord Pool

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Patricia Deyna; Maria Hultström; [2007]
    Keywords : Options; Forwards; Black 76; Nord Pool; Volatility;

    Abstract : This thesis studies the options traded at the Nordic power market Nord Pool, which are written on yearly and quarterly forward contracts. The most widely used pricing model at the market is Black 76, a model that assumes the option’s underlying variable to be log-normally distributed, and volatility to be constant over time. READ MORE