Essays about: "realiserad volatilitet"

Found 2 essays containing the words realiserad volatilitet.

1. 1. Modeling the Relation Between Implied and Realized Volatility

   University essay from KTH/Matematisk statistik

   Author : Tobias Brodd; [2020]
   Keywords : Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

   Abstract : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. READ MORE

3. 2. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data

   University essay from KTH/Matematisk statistik

   Author : Sara Holmsäter; Emelie Malmberg; [2016]
   Keywords : Multivariate Expected Shortfall; Component Expected Shortfall;

   Abstract : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. READ MORE