Essays about: "volatility model valuation"

Showing result 21 - 25 of 39 essays containing the words volatility model valuation.

  1. 21. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 22. The Valuation of Forest before and after the Financial Crisis in 2008: A descriptive study of forest valuation under IAS 41

    University essay from Göteborgs universitet/Graduate School

    Author : Ahmad Abdulrahim; David Sandberg; [2016-09-15]
    Keywords : IAS 41; Forest; Biological asset; Fair Value Measurement; Financial Crisis;

    Abstract : Following the financial crisis in 2008, many studies suggested that the use of fair value measurement contributed to the crisis. Further they showed how the value relevance of level 3 inputs especially was affected by the increased doubt in fair value measurement. The crisis also involved large reductions in interest rates. READ MORE

  4. 23. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments

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

    Author : Richard Ruthberg; Sebastian Wogenius; [2016]
    Keywords : Energy investment; investment valuation; renewable energy production; electricity price modeling; long-term; combined heat and power; CHP; balancing power; intermittent renewable energy modeling; Pilipovic model; multi-factor model; sinusoidal regression; Ornstein-Uhlenbeck estimation; electricity price duration prediction; Nord Pool; Sweden electricity market; future energy systems; phasing out nuclear power; energy policy.;

    Abstract : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. READ MORE

  5. 24. Model risk quantification in option pricing

    University essay from Lunds universitet/Matematisk statistik

    Author : Michael Montag; Fredrik Persson; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE

  6. 25. Valuing Credit Default Swaps with a Structural Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Per Möller; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. READ MORE