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69 Uppsatser om Volatility smile - Sida 1 av 5

En kvantitativ undersökning av SABR-modellen

För att prissätta optioner är val av modell en viktig fråga. I denna kandidatuppsatsbeskrivs både Black & Scholes modell och SABR-modellen. Förstnämnda modell ärenklare än SABR-modellen men bygger på antaganden som inte stämmer överens medverkligheten. Den ger heller inte någon explicit formel för den implicita volatilitetenoch predikterar inte heller på ett korrekt sätt fenomenet Volatility smile vilketobserveras på marknaden.Syftet med uppsatsen är att utvärdera prestandan hos SABR-modellen ochanvändarvänligheten, samt att undersöka lite av teorin bakom modellen och vissa avdess egenskaper. Till grund för beräkningarna ligger datamaterial hämtat från NasdaqOMX Nordic.Enligt mina beräkningar är resultatet att SABR-modellen endast presterar marginelltbättre än Black & Scholes-modellen.

Brian Wilson presents Smile! : En studie av omständigheterna kring Smileskivans nedläggning

Calle Strand: Brian Wilson presents Smile! ? a study of the circumstances surrounding theabandonment of Smile - Uppsala University, Department of Musicology, C-essay.This essay is about the course of events that led to the abandonment of the Beach Boys albumSmile in 1967. The purpose of the essay is to differentiate the medial assumption of why Smilewas never released and also investigate to what extent media have influenced this assumption.The medial assumption is compared to actual events of the time of the abandonment andthe difference is then being discussed in a media-theoretical perspective.The theoretical framework is based on theories by Denis McQuail. His ideas aboutmedia's influences on the reception of its audience are of great importance for the essay andthe notions of agenga-setting and framing has a central role.Finally the conclusion is drawn that the medial assumption is a simplified and distortedexplanation to why Smile was never released. The actual events discover several alternativereasons, but media choose to focus on the assumption that gain them the most (they set theagenda and frame the information to their advantage) and present it as the only reason to theabandonment of Smile..

Kan företag genom sin redovisningsinformation påverka volatiliteten i aktiekursen?: en studie av sambandet mellan informationskvalitet och risk

The purpose of this paper was to examine the potential presence of a relationship between the quality of corporate financial disclosure and the volatility in stock price in the Swedish market. This was carried out by investigating the hypothesis that an accurate annual report with high information quality results in a decrease in volatility. Previous studies have been done with this approach and in some cases the above stated hypothesis was found to be true. Thus, in the absence of a perfect efficient market the level of information quality may to some extent explain the volatility in stock price. However, the result of our study gave no evidence in support of this hypothesis.

En studie av lösensdagseffekt på aktiekursens volatilitet

The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a stocks future movement. When volatility increases, the chance or probability of a stock going up or down increases. It?s a common rumor among stock traders that stock volatility tends to increase nearby expiration day.

Value-at-Risk : Historisk simulering som konkurrenskraftig beräkningsmodell

Value-at-Risk (VaR) is among financial institutions a commonly used tool for measuring market risk. Several methods to calculate VaR exists and different implementations often results in different VaR forecasts. An interesting implementation is historical simulation, and the purpose of this thesis is to examine whether historical simulation with dynamic volatility updating is useful as a model to calculate VaR and how this differs in regard to type of asset or instrument. To carry out the investigation six different models are implemented, which then are tested for statistical accuracy through Christoffersens test. We find that incorporation of volatility updating into the historical simulation method in many cases improves the model.

Implementation of a Data Handling System for a Scientific  Magnetometer on a CubeSat

Since their invention in 1999, CubeSats have become a widespread standard for small picosatellite missions. CubeSats allow for quick development of satellite payloads and launch in space without the high costs of a normal satellite. Emphasis during the CubeSat design process is placed on use of commercialoff- the-shelf (COTS) components and reuse of previously-designed units.This report describes the interfacing of a scientific magnetometer, the Small Magnetometer in Low-Mass Experiment (SMILE) to such a CubeSat mission, the Space Weather using Ion spectrometers and Magnetometers (SWIM). Design of a complete platform for use in multiple such missions is presented here.Modularity is one of the key aspects followed in the course of the work. A new board containing the analog pick-up and compensation circuitry for SMILE has been designed to fit inside a CubeSat frame.

Riskens förändring för svenska aktier och obligationer: 1919-2003

Purpose The purpose of our study was to investigate the changing nature of volatility during the last 80 years. Like in an American study, we tried to find some trends in the risk of stocks and bonds that would have an impact on the balance of a portfolio of stocks and bonds. At the same time we investigated the influence of inflation on the choice of portfolio. Methods We have used standard statistic tools and formulas to obtain our results. In most cases it was a matter of calculating average and standard deviation.

Inflation och Investeringar med Särskilt Fokus på Realränteobligationer

Title: Inflation and Investments, with Focus on Inflation-linked Bonds.Investors face many types of risks when allocating assets in a portfolio, e.g. volatility and inflation risk. Inflation risk will mainly affect investments in the long perspective. This thesis will examine those risks that an investor is commonly exposed to when allocating assets in a portfolio and in particular inflation-linked risk and how to eliminate it. We examine the correlation between different assets and inflation to determine the assets? ability to hedge inflation risk.

Effekten av Valutarisk på Bilateral Handel

 This paper evaluates the effect of exchange rate risk on the sum of bilateral trade. To distinguish the effect between different types of countries, two groups are defined: advanced and developing economies. Economic theory on exchange rate risk and trade proposes ambiguous effects of increased volatility. However, the ex ante hypothesis is that developing economies are more sensitive to volatility. Contrarily to the hypothesis, the empirical results suggest that advanced economies would benefit up to twice as much from a removal of exchange rate risk.

En empirisk studie av Value-at-Risk-prediktering med hjälp av GARCH-modeller

This paper describes a study examining four different GARCH models AR(1)-GARCH(1,1), AR(1)-EGARCH(1,1), AR(1)-APGARCH(1,1) and AR(1)-GJR-GARCH(1,1), and their ability to predict future volatility and thereby providing more reliable estimates for Value-at-Risk. The study is based on daily observations for the return of the OMX Stockholm 30 Index, during the time period 31st December 1996 to 29th December 2006. The coefficients for these GARCH models have been estimated using a five-year rolling estimation window, with one-year lags, for five different in-sample-periods. These five in-sample-periods, and the coefficients given by them, have been used to generate five out-of-sample predictions for the volatility in each year. Using these volatility predictions, the daily Value-at-Risk has been calculated for confidence intervals of 90 percent, 95 percent, and 99 percent, respectively, during the time period between 1st January 2001 and 29th December 2006.

Har ökad öppenhet påverkat den automatiska stabilisatorn? : -en makroekonomisk paneldatastudie

This paper investigates the automatic stabilizer and the underlying factors behind its function. The paper includes both a literature review and an empirical analysis. The literature review discusses the IS-LM and Mundell-Fleming models and different ways to quantify the automatic stabilizer. Based on the theory, the relationship between volatility in GDP and the size of the automatic stabilizers is then analyzed with the help of regressions. Our main result shows a negative relation between these two variables.

Belåning av aktier : har riskerna underskattats?

Investors? use borrowing as a way to profit from leverage advantages in their portfolios.When investors borrow with their securities as safety for the loan and the value of thesecurities decrease the investor can get a portfolio with more credit than what is covered bythe value of the securities and risk huge losses. To what extent an investor is allowed toborrow with his portfolio as safety depends on the bank or broker and varies between theproviders. By studying available material and in addition to that making an empirical study Iattempt to find out the reason for the varying degrees of leverage possibilities between thebrokers and how the degree of maximum borrowing on the securities are decided. Thefindings show that decision of leverage degree on a security is made after first making aquantitative analysis of the stocks volatility and liquidity and thereafter make a qualitativeanalysis of the company.

Implied Dividends and Equity Returns

This paper studies the option market?s implied dividend as a predictor of future equity market returns. We introduce this variable in the simple total return framework and discuss some complications of using it as a proxy for the expected dividend. We construct some regressions using the price-dividend ratio and the implied dividend growth, and test them on six years worth of data on the EURO STOXX 50-index. The main result is that implied dividend growth exhibits some forecastability over two-year horizons, but that the dataset is too short to draw any definitive conclusions about long-horizon forecastability.

Bull´s Eye? : Träffsäkerheten i analytikers prognoser

Background: An evaluation of analysts´ forecasting ability is interesting since their estimates constitute an important part in stock valuation and investment decisions. The recent years´ development in the stock market has lead to criticism of analysts? deficient forecasts. Purpose: The purpose of this thesis is to evaluate analysts´ forecasting ability concerning companies quoted at Stockholmsbörsen between 1987 and 2002. We also intend to discuss possible explanations for analysts? behavior in case of deficient accuracy.

APPLE : Abnormala avkastningar på Apple Inc av diverse händelser?

This paper treats the question about how the internationally established company, Apple, is affected by intern or extern events when it comes to the trade market. The purpose of the study is to investigate if chosen events create abnormal return on Apples stock market. The chosen research area is Steve Jobs three sick-listings, It-bubble and the purchase of the search engine company Siri. The reason of writing about this is the big interest for the stock market and its function.This study methodological starting position is quantitative done by an event study, with qualitative feature done by an interview with an expertise within this area. When analyzing the empirics, we have used the efficient market theory that says that information should not affect the stock market in the degree that abnormal return creates.

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