Now showing items 91-100 of 157
A Numerical Approach to Profile Investor Preferences from Option Prices
This paper introduces a behavioural model and an algorithm that allow define classes of investors and draw the size each of them from financial data. The nonparametric pricing kernel estimated from stocks and options quotes ...
Models for Interest Rates and Interest Rate Derivatives
This thesis gives an introduction to the principles of modern interest rate theory. After covering the basic tools for working in an environment with stochastic interest rates, we introduce different models for the term ...
Statistical Analysis of Trading Volumes on the Energy Market using a Local Parametric Approach
International electricity trading in the European Union (EU) is the result of a liberalized energy market. Having access to inter-regional and international energy markets grants electric power producers and industrial ...