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You searched for subject:( Risk neutral pricing). Showing records 1 – 30 of 26393 total matches.

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The Ohio State University

1. Lee, Seung Hwan. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.

Degree: PhD, Economics, 2008, The Ohio State University

  This dissertation develops two new parametric and nonparametric methods for estimating risk-neutral measures (RNM) which embody important information about market participants’ sentiments concerning prices… (more)

Subjects/Keywords: Economics; Risk Neutral Measure; Option Pricing; Pricing Kernel; B-Spline

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Lee, S. H. (2008). Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615

Chicago Manual of Style (16th Edition):

Lee, Seung Hwan. “Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.” 2008. Doctoral Dissertation, The Ohio State University. Accessed August 14, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615.

MLA Handbook (7th Edition):

Lee, Seung Hwan. “Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models.” 2008. Web. 14 Aug 2020.

Vancouver:

Lee SH. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. [Internet] [Doctoral dissertation]. The Ohio State University; 2008. [cited 2020 Aug 14]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615.

Council of Science Editors:

Lee SH. Three Essays On Estimation Of Risk Neutral Measures Using Option Pricing Models. [Doctoral Dissertation]. The Ohio State University; 2008. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1210724615


University of Illinois – Chicago

2. Jiang, Liyuan. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.

Degree: 2017, University of Illinois – Chicago

 The risk-neutral density for a future payoff of an asset can be estimated from market option prices that expire on the same date. We reformulate… (more)

Subjects/Keywords: Risk-neutral density estimation; Option pricing; Nonparametric approach; Constraint optimization; Variance swap pricing

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APA (6th Edition):

Jiang, L. (2017). A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. (Thesis). University of Illinois – Chicago. Retrieved from http://hdl.handle.net/10027/21805

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Thesis, University of Illinois – Chicago. Accessed August 14, 2020. http://hdl.handle.net/10027/21805.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Jiang, Liyuan. “A Nonparametric Estimate of the Risk-Neutral Density and Its Applications.” 2017. Web. 14 Aug 2020.

Vancouver:

Jiang L. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. [Internet] [Thesis]. University of Illinois – Chicago; 2017. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10027/21805.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jiang L. A Nonparametric Estimate of the Risk-Neutral Density and Its Applications. [Thesis]. University of Illinois – Chicago; 2017. Available from: http://hdl.handle.net/10027/21805

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manchester

3. Hansen Silva, Erwin Guillermo. Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice.

Degree: PhD, 2013, University of Manchester

 In this thesis, we study the estimation of the nonlinear conditionalrisk-neutral density function (RND) in discrete time. Specifically, weevaluate the extent to which the estimated… (more)

Subjects/Keywords: 338.5; Risk-neutral density function estimation; Semi-nonparametric models; Option pricing; Portfolio choice

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hansen Silva, E. G. (2013). Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/nonlinear-conditional-riskneutral-density-estimation-in-discrete-time-with-applications-to-option-pricing-risk-preference-measurement-and-portfolio-choice(0369c1bb-0873-42c8-a0cf-d18356b3643e).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576830

Chicago Manual of Style (16th Edition):

Hansen Silva, Erwin Guillermo. “Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice.” 2013. Doctoral Dissertation, University of Manchester. Accessed August 14, 2020. https://www.research.manchester.ac.uk/portal/en/theses/nonlinear-conditional-riskneutral-density-estimation-in-discrete-time-with-applications-to-option-pricing-risk-preference-measurement-and-portfolio-choice(0369c1bb-0873-42c8-a0cf-d18356b3643e).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576830.

MLA Handbook (7th Edition):

Hansen Silva, Erwin Guillermo. “Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice.” 2013. Web. 14 Aug 2020.

Vancouver:

Hansen Silva EG. Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice. [Internet] [Doctoral dissertation]. University of Manchester; 2013. [cited 2020 Aug 14]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/nonlinear-conditional-riskneutral-density-estimation-in-discrete-time-with-applications-to-option-pricing-risk-preference-measurement-and-portfolio-choice(0369c1bb-0873-42c8-a0cf-d18356b3643e).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576830.

Council of Science Editors:

Hansen Silva EG. Nonlinear conditional risk-neutral density estimation in discrete time with applications to option pricing, risk preference measurement and portfolio choice. [Doctoral Dissertation]. University of Manchester; 2013. Available from: https://www.research.manchester.ac.uk/portal/en/theses/nonlinear-conditional-riskneutral-density-estimation-in-discrete-time-with-applications-to-option-pricing-risk-preference-measurement-and-portfolio-choice(0369c1bb-0873-42c8-a0cf-d18356b3643e).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.576830

4. Sällberg, Gustav. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions.

Degree: Faculty of Science & Engineering, 2015, Linköping UniversityLinköping University

  The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing(more)

Subjects/Keywords: local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation

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APA (6th Edition):

Sällberg, G. (2015). Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions. (Thesis). Linköping UniversityLinköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120090

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sällberg, Gustav. “Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions.” 2015. Thesis, Linköping UniversityLinköping University. Accessed August 14, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120090.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sällberg, Gustav. “Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions.” 2015. Web. 14 Aug 2020.

Vancouver:

Sällberg G. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions. [Internet] [Thesis]. Linköping UniversityLinköping University; 2015. [cited 2020 Aug 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120090.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sällberg G. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions. [Thesis]. Linköping UniversityLinköping University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120090

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

5. Chechelnytska, Kateryna. Volatility Curves of Incomplete Markets .

Degree: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper, 2019, Chalmers University of Technology

 The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were… (more)

Subjects/Keywords: Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Chechelnytska, K. (2019). Volatility Curves of Incomplete Markets . (Thesis). Chalmers University of Technology. Retrieved from http://hdl.handle.net/20.500.12380/300552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Thesis, Chalmers University of Technology. Accessed August 14, 2020. http://hdl.handle.net/20.500.12380/300552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chechelnytska, Kateryna. “Volatility Curves of Incomplete Markets .” 2019. Web. 14 Aug 2020.

Vancouver:

Chechelnytska K. Volatility Curves of Incomplete Markets . [Internet] [Thesis]. Chalmers University of Technology; 2019. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/20.500.12380/300552.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chechelnytska K. Volatility Curves of Incomplete Markets . [Thesis]. Chalmers University of Technology; 2019. Available from: http://hdl.handle.net/20.500.12380/300552

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Cornell University

6. Srapionyan, Anna. Some spectral ideas applied to finance and to self-similar and long-range dependent processes .

Degree: 2019, Cornell University

 This dissertation consists of four parts. The aim of the first part is to present original transformations on tractable Markov processes (or equivalently, on their… (more)

Subjects/Keywords: Spectral theory; Applied mathematics; Mathematics; Jacobi operators; Long-range dependent processes; Mittag-Leffler functions; Risk-neutral pricing; Self-similar Cauchy problem

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APA (6th Edition):

Srapionyan, A. (2019). Some spectral ideas applied to finance and to self-similar and long-range dependent processes . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/67288

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Srapionyan, Anna. “Some spectral ideas applied to finance and to self-similar and long-range dependent processes .” 2019. Thesis, Cornell University. Accessed August 14, 2020. http://hdl.handle.net/1813/67288.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Srapionyan, Anna. “Some spectral ideas applied to finance and to self-similar and long-range dependent processes .” 2019. Web. 14 Aug 2020.

Vancouver:

Srapionyan A. Some spectral ideas applied to finance and to self-similar and long-range dependent processes . [Internet] [Thesis]. Cornell University; 2019. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/1813/67288.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Srapionyan A. Some spectral ideas applied to finance and to self-similar and long-range dependent processes . [Thesis]. Cornell University; 2019. Available from: http://hdl.handle.net/1813/67288

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Linköping University

7. Rehnby, Nicklas. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options .

Degree: Management and Engineering, 2017, Linköping University

  Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the… (more)

Subjects/Keywords: option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm; Economics; Nationalekonomi

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rehnby, N. (2017). Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options . (Thesis). Linköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Rehnby, Nicklas. “Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options .” 2017. Thesis, Linköping University. Accessed August 14, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Rehnby, Nicklas. “Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options .” 2017. Web. 14 Aug 2020.

Vancouver:

Rehnby N. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options . [Internet] [Thesis]. Linköping University; 2017. [cited 2020 Aug 14]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rehnby N. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options . [Thesis]. Linköping University; 2017. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

8. Lin, Jing-ing. The Relation of the Attitudes towards Risk and Ambiguity.

Degree: Master, Economics, 2012, NSYSU

 Two different types of games are used to measure subjectsâ attitudes towards risk and ambiguity in this paper. In GAME 1, subjects are provided with… (more)

Subjects/Keywords: neutral; aversion; ambiguity; seeking; risk

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APA (6th Edition):

Lin, J. (2012). The Relation of the Attitudes towards Risk and Ambiguity. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0709112-104146

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Lin, Jing-ing. “The Relation of the Attitudes towards Risk and Ambiguity.” 2012. Thesis, NSYSU. Accessed August 14, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0709112-104146.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Lin, Jing-ing. “The Relation of the Attitudes towards Risk and Ambiguity.” 2012. Web. 14 Aug 2020.

Vancouver:

Lin J. The Relation of the Attitudes towards Risk and Ambiguity. [Internet] [Thesis]. NSYSU; 2012. [cited 2020 Aug 14]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0709112-104146.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lin J. The Relation of the Attitudes towards Risk and Ambiguity. [Thesis]. NSYSU; 2012. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0709112-104146

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Nairobi

9. Aduda, Jane A. A comparison of the classical black-scholes model and the Garch option pricing model for currency options.

Degree: 2008, University of Nairobi

 This study looks at the consequences of introducing heteroscedasticity in option pricing. The analysis shows that introducing heteroscedasticity results in a better fitting of the… (more)

Subjects/Keywords: Heteroscedasticity; Black-Scholes; Option pricing; Garch model; Foreign exchange rates; Risk Neutral Valuation.

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APA (6th Edition):

Aduda, J. A. (2008). A comparison of the classical black-scholes model and the Garch option pricing model for currency options. (Thesis). University of Nairobi. Retrieved from http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/24203

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Aduda, Jane A. “A comparison of the classical black-scholes model and the Garch option pricing model for currency options. ” 2008. Thesis, University of Nairobi. Accessed August 14, 2020. http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/24203.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Aduda, Jane A. “A comparison of the classical black-scholes model and the Garch option pricing model for currency options. ” 2008. Web. 14 Aug 2020.

Vancouver:

Aduda JA. A comparison of the classical black-scholes model and the Garch option pricing model for currency options. [Internet] [Thesis]. University of Nairobi; 2008. [cited 2020 Aug 14]. Available from: http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/24203.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Aduda JA. A comparison of the classical black-scholes model and the Garch option pricing model for currency options. [Thesis]. University of Nairobi; 2008. Available from: http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/24203

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

10. Hu, Qi. Machine learning and forward looking information in option prices.

Degree: PhD, 2018, University of Bath

 The use of forward-looking information from option prices attracted a lot of attention after the 2008 financial crisis, which highlighting the difficulty of using historical… (more)

Subjects/Keywords: 658; Machine Learning; option pricing; risk neutral density

…to challenge the traditional option pricing framework under the risk neutral measure Q and… …Equilibrium Pricing Model As a matter of fact, the risk neutral pricing could connect to… …The estimation of state price density (often described as risk-neutral density in the… …probability density under P is f (ST ) Q Risk neutral measure, the risk neutral density… …is p∗ (ST ), risk neutral distribution is F (ST ) QT Forward measure… 

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APA (6th Edition):

Hu, Q. (2018). Machine learning and forward looking information in option prices. (Doctoral Dissertation). University of Bath. Retrieved from https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565

Chicago Manual of Style (16th Edition):

Hu, Qi. “Machine learning and forward looking information in option prices.” 2018. Doctoral Dissertation, University of Bath. Accessed August 14, 2020. https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565.

MLA Handbook (7th Edition):

Hu, Qi. “Machine learning and forward looking information in option prices.” 2018. Web. 14 Aug 2020.

Vancouver:

Hu Q. Machine learning and forward looking information in option prices. [Internet] [Doctoral dissertation]. University of Bath; 2018. [cited 2020 Aug 14]. Available from: https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565.

Council of Science Editors:

Hu Q. Machine learning and forward looking information in option prices. [Doctoral Dissertation]. University of Bath; 2018. Available from: https://researchportal.bath.ac.uk/en/studentthesis/machine-learning-and-forward-looking-information-in-option-prices(a4608fe7-ebbb-41cf-ae68-d8e7b7bdb8b9).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.767565


University of Technology, Sydney

11. Miller, SM. Pricing of contingent claims under the real-world measure.

Degree: 2007, University of Technology, Sydney

 The aim of this thesis is to price contingent claims under the real-world probability measure. Real-world pricing results naturally by selecting the numeraire as the… (more)

Subjects/Keywords: Pricing of contingent claims.; Growth optimal portfolio (GOP).; Risk-neutral probability measure.; Real-world pricing.; Zero-coupon bonds.; Interest rate.

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APA (6th Edition):

Miller, S. (2007). Pricing of contingent claims under the real-world measure. (Thesis). University of Technology, Sydney. Retrieved from http://hdl.handle.net/10453/37576

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Miller, SM. “Pricing of contingent claims under the real-world measure.” 2007. Thesis, University of Technology, Sydney. Accessed August 14, 2020. http://hdl.handle.net/10453/37576.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Miller, SM. “Pricing of contingent claims under the real-world measure.” 2007. Web. 14 Aug 2020.

Vancouver:

Miller S. Pricing of contingent claims under the real-world measure. [Internet] [Thesis]. University of Technology, Sydney; 2007. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10453/37576.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Miller S. Pricing of contingent claims under the real-world measure. [Thesis]. University of Technology, Sydney; 2007. Available from: http://hdl.handle.net/10453/37576

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

12. Hsu , Wei-chih. Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market.

Degree: Master, Finance, 2016, NSYSU

 Most risk-return research is based on markets in foreign countries. The empirical results find the existence of a low risk anomaly in the US. Although… (more)

Subjects/Keywords: Sector-Neutral Strategy; Beta-Neutral Strategy; Low Risk Anomaly

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APA (6th Edition):

Hsu , W. (2016). Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0523116-143833

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Hsu , Wei-chih. “Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market.” 2016. Thesis, NSYSU. Accessed August 14, 2020. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0523116-143833.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Hsu , Wei-chih. “Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market.” 2016. Web. 14 Aug 2020.

Vancouver:

Hsu W. Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market. [Internet] [Thesis]. NSYSU; 2016. [cited 2020 Aug 14]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0523116-143833.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hsu W. Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market. [Thesis]. NSYSU; 2016. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0523116-143833

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Johannesburg

13. Goosen, Eugene. Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel.

Degree: 2012, University of Johannesburg

M.Comm.

ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is… (more)

Subjects/Keywords: Risk assessment; Pricing; Portfolio management

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Goosen, E. (2012). Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel. (Thesis). University of Johannesburg. Retrieved from http://hdl.handle.net/10210/6752

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Goosen, Eugene. “Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel.” 2012. Thesis, University of Johannesburg. Accessed August 14, 2020. http://hdl.handle.net/10210/6752.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Goosen, Eugene. “Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel.” 2012. Web. 14 Aug 2020.

Vancouver:

Goosen E. Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel. [Internet] [Thesis]. University of Johannesburg; 2012. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10210/6752.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Goosen E. Saamgestelde portefeuljes : 'n kritiese risikometings- en evalueringsmodel. [Thesis]. University of Johannesburg; 2012. Available from: http://hdl.handle.net/10210/6752

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manitoba

14. Wang, Yan. Essays on asset pricing with incomplete or noisy information.

Degree: Accounting and Finance, 2010, University of Manitoba

 This dissertation consists of two essays, in which I examine the effects of incomplete or noisy information on expected risk premium in equity markets. In… (more)

Subjects/Keywords: asset pricing; information quality risk

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APA (6th Edition):

Wang, Y. (2010). Essays on asset pricing with incomplete or noisy information. (Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/4311

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Yan. “Essays on asset pricing with incomplete or noisy information.” 2010. Thesis, University of Manitoba. Accessed August 14, 2020. http://hdl.handle.net/1993/4311.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Yan. “Essays on asset pricing with incomplete or noisy information.” 2010. Web. 14 Aug 2020.

Vancouver:

Wang Y. Essays on asset pricing with incomplete or noisy information. [Internet] [Thesis]. University of Manitoba; 2010. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/1993/4311.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang Y. Essays on asset pricing with incomplete or noisy information. [Thesis]. University of Manitoba; 2010. Available from: http://hdl.handle.net/1993/4311

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queen Mary, University of London

15. Vecchio, G. Essays in asset pricing.

Degree: PhD, 2019, Queen Mary, University of London

 My thesis is divided in three chapters. In the first I extend the application of Bandi and Tamoni (2014)'s time series decomposition to other asset… (more)

Subjects/Keywords: Business cycle risk; Political risk; asset pricing

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APA (6th Edition):

Vecchio, G. (2019). Essays in asset pricing. (Doctoral Dissertation). Queen Mary, University of London. Retrieved from http://qmro.qmul.ac.uk/xmlui/handle/123456789/56816 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.786362

Chicago Manual of Style (16th Edition):

Vecchio, G. “Essays in asset pricing.” 2019. Doctoral Dissertation, Queen Mary, University of London. Accessed August 14, 2020. http://qmro.qmul.ac.uk/xmlui/handle/123456789/56816 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.786362.

MLA Handbook (7th Edition):

Vecchio, G. “Essays in asset pricing.” 2019. Web. 14 Aug 2020.

Vancouver:

Vecchio G. Essays in asset pricing. [Internet] [Doctoral dissertation]. Queen Mary, University of London; 2019. [cited 2020 Aug 14]. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/56816 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.786362.

Council of Science Editors:

Vecchio G. Essays in asset pricing. [Doctoral Dissertation]. Queen Mary, University of London; 2019. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/56816 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.786362

16. Hansen Silva, Erwin Guillermo. Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice.

Degree: 2013, University of Manchester

 In this thesis, we study the estimation of the nonlinear conditionalrisk-neutral density function (RND) in discrete time. Specifically, weevaluate the extent to which the estimated… (more)

Subjects/Keywords: Risk-neutral density function estimation; Semi-nonparametric models; Option pricing; Portfolio choice

…retrieve the parameters of the risk-neutral density function. Then, we estimate the pricing… …SNP pricing model. After assuming that the conditional risk-neutral density function of the… …function 2.3.1 Pricing European call options Assume that, under the risk-neutral measure, Q… …ABSTRACT The University of Manchester Erwin Hansen Nonlinear Conditional Risk-Neutral… …Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hansen Silva, E. G. (2013). Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:197828

Chicago Manual of Style (16th Edition):

Hansen Silva, Erwin Guillermo. “Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice.” 2013. Doctoral Dissertation, University of Manchester. Accessed August 14, 2020. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:197828.

MLA Handbook (7th Edition):

Hansen Silva, Erwin Guillermo. “Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice.” 2013. Web. 14 Aug 2020.

Vancouver:

Hansen Silva EG. Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice. [Internet] [Doctoral dissertation]. University of Manchester; 2013. [cited 2020 Aug 14]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:197828.

Council of Science Editors:

Hansen Silva EG. Nonlinear Conditional Risk-Neutral Density Estimation in Discrete Time with Applications to Option Pricing, Risk Preference Measurement and Portfolio Choice. [Doctoral Dissertation]. University of Manchester; 2013. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:197828


Technical University of Lisbon

17. Sousa, João Miguel Nogueira de. Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED.

Degree: 2013, Technical University of Lisbon

Mestrado em Finanças

Os derivados financeiros possuem propriedades que permitem extrair informação valiosa acerca das expectativas dos investidores. É possível estimar a função densidade de… (more)

Subjects/Keywords: valorização de opções; densidade neutra ao risco; mistura de distribuições log-normais; Reserva Federal; Banco Central Europeu; medidas de política monetária não-convencional; option pricing; risk-neutral density; mixture of log-normal distribution; Federal Reserve; European Central Bank; unconventional monetary policy

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APA (6th Edition):

Sousa, J. M. N. d. (2013). Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED. (Thesis). Technical University of Lisbon. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/11380

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Sousa, João Miguel Nogueira de. “Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED.” 2013. Thesis, Technical University of Lisbon. Accessed August 14, 2020. https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/11380.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Sousa, João Miguel Nogueira de. “Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED.” 2013. Web. 14 Aug 2020.

Vancouver:

Sousa JMNd. Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED. [Internet] [Thesis]. Technical University of Lisbon; 2013. [cited 2020 Aug 14]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/11380.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sousa JMNd. Expectativas dos investidores implícitas nos preços das opções : reacções às políticas monetárias do BCE e da FED. [Thesis]. Technical University of Lisbon; 2013. Available from: https://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/11380

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manitoba

18. Meyer, Keith. Extending and simulating the quantum binomial options pricing model.

Degree: Computer Science, 2009, University of Manitoba

Pricing options quickly and accurately is a well known problem in finance. Quantum computing is being researched with the hope that quantum computers will be… (more)

Subjects/Keywords: Quantum; Options; Binomial; No-arbitrage; Risk-neutral; Computing; Stock; Black-Scholes; Cox-Ross-Rubinstein; Pricing; Model; European; American; Bermudan; Barrier; Volatility

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APA (6th Edition):

Meyer, K. (2009). Extending and simulating the quantum binomial options pricing model. (Masters Thesis). University of Manitoba. Retrieved from http://hdl.handle.net/1993/3154

Chicago Manual of Style (16th Edition):

Meyer, Keith. “Extending and simulating the quantum binomial options pricing model.” 2009. Masters Thesis, University of Manitoba. Accessed August 14, 2020. http://hdl.handle.net/1993/3154.

MLA Handbook (7th Edition):

Meyer, Keith. “Extending and simulating the quantum binomial options pricing model.” 2009. Web. 14 Aug 2020.

Vancouver:

Meyer K. Extending and simulating the quantum binomial options pricing model. [Internet] [Masters thesis]. University of Manitoba; 2009. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/1993/3154.

Council of Science Editors:

Meyer K. Extending and simulating the quantum binomial options pricing model. [Masters Thesis]. University of Manitoba; 2009. Available from: http://hdl.handle.net/1993/3154


Universidade Nova

19. Santos, Sofia Alexandra Vieira dos. Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method.

Degree: 2018, Universidade Nova

 This paper develops and applies an empirical framework to managing and measuring the longevity risk using derivative instruments, with the aim of suppressing the normal… (more)

Subjects/Keywords: Longevity risk; Longevity swap; Risk-neutral simulation; Lee-Carter possion model

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APA (6th Edition):

Santos, S. A. V. d. (2018). Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method. (Thesis). Universidade Nova. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32045

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Santos, Sofia Alexandra Vieira dos. “Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method.” 2018. Thesis, Universidade Nova. Accessed August 14, 2020. https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32045.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Santos, Sofia Alexandra Vieira dos. “Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method.” 2018. Web. 14 Aug 2020.

Vancouver:

Santos SAVd. Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method. [Internet] [Thesis]. Universidade Nova; 2018. [cited 2020 Aug 14]. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32045.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Santos SAVd. Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method. [Thesis]. Universidade Nova; 2018. Available from: https://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/32045

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universitat de Valencia

20. Vich Llompart, Maria Magdalena. Inherent information in the prices of options .

Degree: 2018, Universitat de Valencia

 Esta tesis tiene como objetivo analizar el contenido informacional de los precios observados de las opciones. En este caso particular, teniendo diferentes opciones sobre el… (more)

Subjects/Keywords: financial options; risk-neutral distributions; risk aversion; subjective probability distribution; transmission

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APA (6th Edition):

Vich Llompart, M. M. (2018). Inherent information in the prices of options . (Doctoral Dissertation). Universitat de Valencia. Retrieved from http://hdl.handle.net/10550/66979

Chicago Manual of Style (16th Edition):

Vich Llompart, Maria Magdalena. “Inherent information in the prices of options .” 2018. Doctoral Dissertation, Universitat de Valencia. Accessed August 14, 2020. http://hdl.handle.net/10550/66979.

MLA Handbook (7th Edition):

Vich Llompart, Maria Magdalena. “Inherent information in the prices of options .” 2018. Web. 14 Aug 2020.

Vancouver:

Vich Llompart MM. Inherent information in the prices of options . [Internet] [Doctoral dissertation]. Universitat de Valencia; 2018. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10550/66979.

Council of Science Editors:

Vich Llompart MM. Inherent information in the prices of options . [Doctoral Dissertation]. Universitat de Valencia; 2018. Available from: http://hdl.handle.net/10550/66979


University of California – Berkeley

21. Boman, Arthur Lee. Systemic Risk and Returns.

Degree: Agricultural & Resource Economics, 2013, University of California – Berkeley

 I solve a consumption based model, with interfirm systemic risk, for a portfolio optimization with arbitrary return distributions and endogenous stochastic discount factor (sdf). The… (more)

Subjects/Keywords: Finance; Asset Pricing; Financial Crisis; Systemic Risk

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APA (6th Edition):

Boman, A. L. (2013). Systemic Risk and Returns. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/4m10k9cj

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Boman, Arthur Lee. “Systemic Risk and Returns.” 2013. Thesis, University of California – Berkeley. Accessed August 14, 2020. http://www.escholarship.org/uc/item/4m10k9cj.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Boman, Arthur Lee. “Systemic Risk and Returns.” 2013. Web. 14 Aug 2020.

Vancouver:

Boman AL. Systemic Risk and Returns. [Internet] [Thesis]. University of California – Berkeley; 2013. [cited 2020 Aug 14]. Available from: http://www.escholarship.org/uc/item/4m10k9cj.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Boman AL. Systemic Risk and Returns. [Thesis]. University of California – Berkeley; 2013. Available from: http://www.escholarship.org/uc/item/4m10k9cj

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Cincinnati

22. Chichernea, Doina. Essays on the Relation between Idiosyncratic Risk and Returns.

Degree: PhD, Business Administration : Finance, 2009, University of Cincinnati

  The central theme of this dissertation is the connection between idiosyncratic risk and returns. In the original literature perfect diversification assumptions eliminate the influence… (more)

Subjects/Keywords: Finance; asset pricing; idiosyncratic risk; EGARCH-M

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APA (6th Edition):

Chichernea, D. (2009). Essays on the Relation between Idiosyncratic Risk and Returns. (Doctoral Dissertation). University of Cincinnati. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=ucin1243007473

Chicago Manual of Style (16th Edition):

Chichernea, Doina. “Essays on the Relation between Idiosyncratic Risk and Returns.” 2009. Doctoral Dissertation, University of Cincinnati. Accessed August 14, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1243007473.

MLA Handbook (7th Edition):

Chichernea, Doina. “Essays on the Relation between Idiosyncratic Risk and Returns.” 2009. Web. 14 Aug 2020.

Vancouver:

Chichernea D. Essays on the Relation between Idiosyncratic Risk and Returns. [Internet] [Doctoral dissertation]. University of Cincinnati; 2009. [cited 2020 Aug 14]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1243007473.

Council of Science Editors:

Chichernea D. Essays on the Relation between Idiosyncratic Risk and Returns. [Doctoral Dissertation]. University of Cincinnati; 2009. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=ucin1243007473


University of Exeter

23. Ketsiri, Kingkan. Weather exposure and the market price of weather risk.

Degree: PhD, 2012, University of Exeter

 Whilst common intuition and the rapid growth of weather derivative practices effectively support the notion that equity returns are sensitive to weather randomness, empirical support… (more)

Subjects/Keywords: 332.6457; Weather risk; Weather derivatives; Asset pricing

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APA (6th Edition):

Ketsiri, K. (2012). Weather exposure and the market price of weather risk. (Doctoral Dissertation). University of Exeter. Retrieved from https://ore.exeter.ac.uk/repository/handle/10036/3904 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.570193

Chicago Manual of Style (16th Edition):

Ketsiri, Kingkan. “Weather exposure and the market price of weather risk.” 2012. Doctoral Dissertation, University of Exeter. Accessed August 14, 2020. https://ore.exeter.ac.uk/repository/handle/10036/3904 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.570193.

MLA Handbook (7th Edition):

Ketsiri, Kingkan. “Weather exposure and the market price of weather risk.” 2012. Web. 14 Aug 2020.

Vancouver:

Ketsiri K. Weather exposure and the market price of weather risk. [Internet] [Doctoral dissertation]. University of Exeter; 2012. [cited 2020 Aug 14]. Available from: https://ore.exeter.ac.uk/repository/handle/10036/3904 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.570193.

Council of Science Editors:

Ketsiri K. Weather exposure and the market price of weather risk. [Doctoral Dissertation]. University of Exeter; 2012. Available from: https://ore.exeter.ac.uk/repository/handle/10036/3904 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.570193

24. Tyagi, Ashutosh. Board Connections, Information Networks, and Asset Prices.

Degree: PhD, Finance, 2019, Georgia State University

  Board interlocks are pervasive: 68.20% of firms on average from 1991-2011 have at least one interlock. Since a firm's decisions are partly based on… (more)

Subjects/Keywords: Asset Price; Asset Pricing; Risk Return; Network

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APA (6th Edition):

Tyagi, A. (2019). Board Connections, Information Networks, and Asset Prices. (Doctoral Dissertation). Georgia State University. Retrieved from https://scholarworks.gsu.edu/finance_diss/34

Chicago Manual of Style (16th Edition):

Tyagi, Ashutosh. “Board Connections, Information Networks, and Asset Prices.” 2019. Doctoral Dissertation, Georgia State University. Accessed August 14, 2020. https://scholarworks.gsu.edu/finance_diss/34.

MLA Handbook (7th Edition):

Tyagi, Ashutosh. “Board Connections, Information Networks, and Asset Prices.” 2019. Web. 14 Aug 2020.

Vancouver:

Tyagi A. Board Connections, Information Networks, and Asset Prices. [Internet] [Doctoral dissertation]. Georgia State University; 2019. [cited 2020 Aug 14]. Available from: https://scholarworks.gsu.edu/finance_diss/34.

Council of Science Editors:

Tyagi A. Board Connections, Information Networks, and Asset Prices. [Doctoral Dissertation]. Georgia State University; 2019. Available from: https://scholarworks.gsu.edu/finance_diss/34


University of Limerick

25. Baublyte, Lijana. A study of political risk selection and pricing among private insurance providers: a mixed methods approach.

Degree: 2012, University of Limerick

peer-reviewed

This study demonstrates that the basis of decision-making and risk-pricing in the UK Political Risk Insurance (PRI) market is a combination of Art and… (more)

Subjects/Keywords: risk pricing; decision making; adopting; PRI

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APA (6th Edition):

Baublyte, L. (2012). A study of political risk selection and pricing among private insurance providers: a mixed methods approach. (Thesis). University of Limerick. Retrieved from http://hdl.handle.net/10344/5813

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Baublyte, Lijana. “A study of political risk selection and pricing among private insurance providers: a mixed methods approach.” 2012. Thesis, University of Limerick. Accessed August 14, 2020. http://hdl.handle.net/10344/5813.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Baublyte, Lijana. “A study of political risk selection and pricing among private insurance providers: a mixed methods approach.” 2012. Web. 14 Aug 2020.

Vancouver:

Baublyte L. A study of political risk selection and pricing among private insurance providers: a mixed methods approach. [Internet] [Thesis]. University of Limerick; 2012. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10344/5813.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Baublyte L. A study of political risk selection and pricing among private insurance providers: a mixed methods approach. [Thesis]. University of Limerick; 2012. Available from: http://hdl.handle.net/10344/5813

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

26. Müller, Janis. Essays in finance: wrong-way risk, jumps and stochastic volatility.

Degree: 2019, Technische Universität Dortmund

 The main focus of this thesis is about understanding the behavior of asset prices and asset returns regarding tail events, in the light of time-varying… (more)

Subjects/Keywords: Risk management; Asset pricing; 330; Kreditmarkt; Risikomanagement

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Müller, J. (2019). Essays in finance: wrong-way risk, jumps and stochastic volatility. (Doctoral Dissertation). Technische Universität Dortmund. Retrieved from http://dx.doi.org/10.17877/DE290R-20317

Chicago Manual of Style (16th Edition):

Müller, Janis. “Essays in finance: wrong-way risk, jumps and stochastic volatility.” 2019. Doctoral Dissertation, Technische Universität Dortmund. Accessed August 14, 2020. http://dx.doi.org/10.17877/DE290R-20317.

MLA Handbook (7th Edition):

Müller, Janis. “Essays in finance: wrong-way risk, jumps and stochastic volatility.” 2019. Web. 14 Aug 2020.

Vancouver:

Müller J. Essays in finance: wrong-way risk, jumps and stochastic volatility. [Internet] [Doctoral dissertation]. Technische Universität Dortmund; 2019. [cited 2020 Aug 14]. Available from: http://dx.doi.org/10.17877/DE290R-20317.

Council of Science Editors:

Müller J. Essays in finance: wrong-way risk, jumps and stochastic volatility. [Doctoral Dissertation]. Technische Universität Dortmund; 2019. Available from: http://dx.doi.org/10.17877/DE290R-20317

27. Zhang, Hai. Option Pricing in Non-Competitive Markets.

Degree: PhD, Mathematics & Statistics, 2018, York University

 In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the competitive market assumption introduces two features: liquidity cost… (more)

Subjects/Keywords: Finance; Liquidity risk; Feedback effects; Option pricing; Utility indifference pricing; Local risk minimization; HJB equation

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APA (6th Edition):

Zhang, H. (2018). Option Pricing in Non-Competitive Markets. (Doctoral Dissertation). York University. Retrieved from http://hdl.handle.net/10315/34269

Chicago Manual of Style (16th Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Doctoral Dissertation, York University. Accessed August 14, 2020. http://hdl.handle.net/10315/34269.

MLA Handbook (7th Edition):

Zhang, Hai. “Option Pricing in Non-Competitive Markets.” 2018. Web. 14 Aug 2020.

Vancouver:

Zhang H. Option Pricing in Non-Competitive Markets. [Internet] [Doctoral dissertation]. York University; 2018. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10315/34269.

Council of Science Editors:

Zhang H. Option Pricing in Non-Competitive Markets. [Doctoral Dissertation]. York University; 2018. Available from: http://hdl.handle.net/10315/34269

28. Hamdi, Haykel. Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations.

Degree: Docteur es, Economie, 2011, Paris 2

L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général… (more)

Subjects/Keywords: Aversion au risque; Densité neutre au risque; Densité subjective; Fonctions d'utilité; Evaluation des options; Options sur l'indice CAC40; Stratégie de couverture optimale; Smile de volatilité; VaR; CVaR; EVT; Risque extrême; Evaluation du risque de marché; Fluctuations non gaussiennes; Risk aversion; Risk neutral density; Subjective density; Utility functions; Options pricing; CAC 40 index options; Optimal hedging strategy; Volatility smile; VaR; CVar; EVT; Extreme risk; Density functionals; Risk assessment; Mathematical optimization; Hedging (finance); Options (finance)

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hamdi, H. (2011). Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations. (Doctoral Dissertation). Paris 2. Retrieved from http://www.theses.fr/2011PA020006

Chicago Manual of Style (16th Edition):

Hamdi, Haykel. “Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations.” 2011. Doctoral Dissertation, Paris 2. Accessed August 14, 2020. http://www.theses.fr/2011PA020006.

MLA Handbook (7th Edition):

Hamdi, Haykel. “Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations.” 2011. Web. 14 Aug 2020.

Vancouver:

Hamdi H. Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations. [Internet] [Doctoral dissertation]. Paris 2; 2011. [cited 2020 Aug 14]. Available from: http://www.theses.fr/2011PA020006.

Council of Science Editors:

Hamdi H. Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes : Options theory and utility functions : hedging strategies in the presence of non-gaussian fluctuations. [Doctoral Dissertation]. Paris 2; 2011. Available from: http://www.theses.fr/2011PA020006


University of the Western Cape

29. Manzini, Muzi Charles. Stochastic Volatility Models for Contingent Claim Pricing and Hedging .

Degree: 2008, University of the Western Cape

 The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The… (more)

Subjects/Keywords: Contingent Claim; Hedging; Brownian Motion; Black-Scholes Implied Volatility; Stochastic Volatility; Call Option Mixture; Risk-Neutral Pricing; Equity-linked Pension; Brennan-Schwartz

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Manzini, M. C. (2008). Stochastic Volatility Models for Contingent Claim Pricing and Hedging . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/2755

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Manzini, Muzi Charles. “Stochastic Volatility Models for Contingent Claim Pricing and Hedging .” 2008. Thesis, University of the Western Cape. Accessed August 14, 2020. http://hdl.handle.net/11394/2755.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Manzini, Muzi Charles. “Stochastic Volatility Models for Contingent Claim Pricing and Hedging .” 2008. Web. 14 Aug 2020.

Vancouver:

Manzini MC. Stochastic Volatility Models for Contingent Claim Pricing and Hedging . [Internet] [Thesis]. University of the Western Cape; 2008. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/11394/2755.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Manzini MC. Stochastic Volatility Models for Contingent Claim Pricing and Hedging . [Thesis]. University of the Western Cape; 2008. Available from: http://hdl.handle.net/11394/2755

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of South Africa

30. Eraman, Direen. An investigation into the mechanics and pricing of credit derivatives .

Degree: 2009, University of South Africa

 With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge… (more)

Subjects/Keywords: Risk neutral probabilities; Arbitrage free pricing; Martingales; Default probabilities; Survival probabilities; Hazard rates; Forward spreads; Credit derivatives; Default digital swaps; Asset swap packages

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Eraman, D. (2009). An investigation into the mechanics and pricing of credit derivatives . (Masters Thesis). University of South Africa. Retrieved from http://hdl.handle.net/10500/3225

Chicago Manual of Style (16th Edition):

Eraman, Direen. “An investigation into the mechanics and pricing of credit derivatives .” 2009. Masters Thesis, University of South Africa. Accessed August 14, 2020. http://hdl.handle.net/10500/3225.

MLA Handbook (7th Edition):

Eraman, Direen. “An investigation into the mechanics and pricing of credit derivatives .” 2009. Web. 14 Aug 2020.

Vancouver:

Eraman D. An investigation into the mechanics and pricing of credit derivatives . [Internet] [Masters thesis]. University of South Africa; 2009. [cited 2020 Aug 14]. Available from: http://hdl.handle.net/10500/3225.

Council of Science Editors:

Eraman D. An investigation into the mechanics and pricing of credit derivatives . [Masters Thesis]. University of South Africa; 2009. Available from: http://hdl.handle.net/10500/3225

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