Essays about: "mean reverting processes"

Found 5 essays containing the words mean reverting processes.

  1. 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.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    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

  3. 2. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    University essay from KTH/Optimeringslära och systemteori

    Author : Jedra Yassir; [2018]
    Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE

  4. 3. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE

  5. 4. Does PPP hold in the long run? An empirical approach using wavelets.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Berger; [2012]
    Keywords : Fractionally Integrated Processes; Wavelets; Time Series Analysis; Purchasing Power Parity; Long Run Memory; Business and Economics;

    Abstract : This paper contributes to the debate as to whether or not Purchasing Power Parity (PPP) holds in the long run. This is done by looking at fractionally integrated processes (FIP) and using wavelets in order to obtain an Ordinary Least Squares (OLS) estimate of the long run memory parameter. READ MORE

  6. 5. Change point detection in an Ornstein-Uhlenbeck process (a reflection of trading in financial markets)

    University essay from Blekinge Tekniska Högskola/Sektionen för ingenjörsvetenskap

    Author : Adetokunbo Ibukun FADAHUNSI; [2010]
    Keywords : Change-point detection; Stopping rules; Ornstein-Uhlenbeck process; Volatility; Alarm function; Financial Markets.;

    Abstract : The financial market has become an area of increasing research interest for mathematicians and statisticians in recent years. Mathematical models and methods are increasingly being applied to study various parameters of the market. One of the parameters that have attracted lots of interest is `volatility'. READ MORE