Essays about: "volatility model valuation"

Showing result 16 - 20 of 39 essays containing the words volatility model valuation.

  1. 16. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eoin Gallagher; Dmitry Tanazhko; [2019]
    Keywords : Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Abstract : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. READ MORE

  3. 17. Analysis of Cryptocurrency Market and Drivers of the Bitcoin Price : Understanding the price drivers of Bitcoinunder speculative environment

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Yasar Kaya; [2018]
    Keywords : bitcoin; speculation; weekend-effect; bitcoin price drivers; LPPL; GoTrend; VIX; speculative bubbles; bitcoin price movements; volatility in cryptocurrency market;

    Abstract : In this paper, the price fluctuations of Bitcoin under speculative environment is studied. It has been seen that the market trend points out an existence of a speculative bubble. Over the course of the period from 2014 to 2018, the trend in price movements of bitcoin has proved to be strongly speculative. READ MORE

  4. 18. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Nathaniel Ahy; Mikael Sierra; [2018]
    Keywords : Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Abstract : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. READ MORE

  5. 19. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    University essay from Göteborgs universitet/Graduate School

    Author : Giulia Cesaroni; [2017-07-25]
    Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Abstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE

  6. 20. Capital structure's influence on volatility on in times of financial distress : An investigation on capital structure as a volatility influencer before, during and after the European debt crisis on the Stockholm Stock Exchange

    University essay from Umeå universitet/Företagsekonomi

    Author : Oscar Joos; Johanna Öhlin; [2017]
    Keywords : volatility; capital structure; stock market; stock returns; Europe; debt crisis; financial crisis; multiple regression models; volatility within different industries; volatility prediction model; Sweden; Swedish stock market.;

    Abstract : The financial crisisand the European debt crisis wreaked havoc on many European economies and stock markets. Previous studies have shown that crises are associated with high debt and linked with lower growth. READ MORE