• Refine Query
  • Source
  • Publication year
  • to
  • Language
  • 144
  • 61
  • 7
  • 7
  • 7
  • 7
  • 7
  • 7
  • 5
  • 2
  • Tagged with
  • 167
  • 167
  • 167
  • 71
  • 64
  • 48
  • 29
  • 29
  • 22
  • 22
  • 18
  • 14
  • 13
  • 13
  • 13
  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

European call option pricing under partial information

Chan, Ka Hou January 2017 (has links)
University of Macau / Faculty of Science and Technology / Department of Mathematics
22

Housing market dynamics in a search economy.

January 2009 (has links)
Li, Kun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 52-54). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Stylized Facts --- p.3 / Chapter 1.2 --- Literature Review --- p.5 / Chapter 1.3 --- Model Framework --- p.8 / Chapter 2 --- The Model --- p.10 / Chapter 2.1 --- The Basic Setting --- p.10 / Chapter 2.2 --- Basic Assumptions of the Model --- p.14 / Chapter 2.3 --- The Bargaining Process --- p.15 / Chapter 2.4 --- The Determination of Ratios --- p.17 / Chapter 2.4.1 --- The Rent-Price Ratio --- p.17 / Chapter 2.5 --- Empirical Evidence --- p.17 / Chapter 2.5.1 --- Data Sources --- p.18 / Chapter 2.5.2 --- Estimation Strategy --- p.19 / Chapter 2.5.3 --- Estimation Results and Discussions --- p.20 / Chapter 3 --- The Model in the Long Run --- p.23 / Chapter 3.1 --- Assumptions --- p.23 / Chapter 3.2 --- Population Dynamics of the Model --- p.24 / Chapter 3.3 --- Comparative Statics --- p.25 / Chapter 3.4 --- Simulation Results in the Long Run --- p.28 / Chapter 3.4.1 --- Housing Market Parameters Variation --- p.28 / Chapter 3.4.2 --- Rental Market Parameters Variation --- p.31 / Chapter 3.5 --- Discussion --- p.34 / Chapter 4 --- The Model in the Short Run --- p.35 / Chapter 4.1 --- Assumptions in the Short Run --- p.35 / Chapter 4.2 --- Short-run Dynamics --- p.36 / Chapter 4.3 --- Simulation Results in the Short Run --- p.37 / Chapter 4.4 --- Discussions --- p.41 / Chapter 5 --- The Dynamics of the Model --- p.42 / Chapter 5.1 --- Dynamic Population and Bellman Equations --- p.42 / Chapter 5.2 --- Transition Path in the Dynamics --- p.43 / Chapter 5.2.1 --- Temporary Shocks and Impulse Responses --- p.43 / Chapter 5.2.2 --- The Transition Path for Permanent Shocks --- p.45 / Chapter 6 --- Further Research Directions --- p.47 / Chapter 6.1 --- Tenure Choice in the Model --- p.47 / Chapter 6.2 --- Market Accessability --- p.48 / Chapter 6.3 --- The ´ةMismatch´ة Approach --- p.49 / Chapter 7 --- Conclusion --- p.50 / Bibliography --- p.52 / Chapter A --- Simulation on Long-run Equilibrium --- p.55 / Chapter B --- Simulation on Short-run Equilibrium --- p.60 / Chapter C --- Transition Paths on Permanent Shock --- p.66 / Chapter D --- Impulse Responses --- p.72
23

A case study of short-run forecasting of commodity prices : an application of autoregressive integrated moving average models

Ankrah, Samuel K. O. January 1991 (has links)
That Ghana derives her foreign exchange earnings mainly from cocoa and gold exports cannot be over emphasised. There is therefore the need to forecast these commodities prices as accurately as possible for proper planning and execution of major policies, since the prices have been notoriously volatile during the past two decades and attempts to stabilize especially the price of the beans (which contributes about 60% of the country's foreign exchange) through the system of buffer stock and export restrictions have not been successful. In this regard, autoregressive integrated moving averages models are built and used to generate short run forecasts for the beans and the precious metal price series. These models are simple to build and appear not only to describe the behaviour of the series but provide good forecasts of the prices.
24

A case study of short-run forecasting of commodity prices : an application of autoregressive integrated moving average models

Ankrah, Samuel K. O. January 1991 (has links)
No description available.
25

A comprehensive approach to transmission pricing and its applications

Wei, Ping, 魏萍 January 2002 (has links)
published_or_final_version / Electrical and Electronic Engineering / Doctoral / Doctor of Philosophy
26

Monetary policy and the stock market structure: some international empirical evidence

Alovokpinhou, Sedjro Aaron January 2016 (has links)
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016. / This paper builds upon Blanchard's (1981) model of asset prices, and provides an empirical evidence for good news cases (GNC) and/or bad news cases (BNC) as de ned in Blanchard's paper. We update Blanchard's model by introducing Taylor's rule of monetary policy and explicitly incorporate income distribution in a small, open economy. The ndings indicate that, the labour share is a strong and signi cant variable that should be considered in asset pricing models. The real exchange rate plays a signi cant role in the determination of asset prices in most of the selected countries, but the signi cance is stronger in the emerging markets economies. As the main objective of the paper, the study has found four of the selected countries to be bad news cases and eight of them are good news cases. / MT2016
27

Pricing lookback options under multiscale stochastic volatility.

January 2005 (has links)
Chan Chun Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 63-66). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Volatility Smile and Stochastic Volatility Models --- p.6 / Chapter 2.1 --- Volatility Smile --- p.6 / Chapter 2.2 --- Stochastic Volatility Model --- p.9 / Chapter 2.3 --- Multiscale Stochastic Volatility Model --- p.12 / Chapter 3 --- Lookback Options --- p.14 / Chapter 3.1 --- Lookback Options --- p.14 / Chapter 3.2 --- Lookback Spread Option --- p.15 / Chapter 3.3 --- Dynamic Fund Protection --- p.16 / Chapter 3.4 --- Floating Strike Lookback Options under Black-Scholes Model --- p.17 / Chapter 4 --- Floating Strike Lookback Options under Multiscale Stochastic Volatility Model --- p.21 / Chapter 4.1 --- Multiscale Stochastic Volatility Model --- p.22 / Chapter 4.1.1 --- Model Settings --- p.22 / Chapter 4.1.2 --- Partial Differential Equation for Lookbacks --- p.24 / Chapter 4.2 --- Pricing Lookbacks in Multiscale Asymtoeics --- p.26 / Chapter 4.2.1 --- Fast Tirnescale Asymtotics --- p.28 / Chapter 4.2.2 --- Slow Tirnescale Asymtotics --- p.31 / Chapter 4.2.3 --- Price Approximation --- p.33 / Chapter 4.2.4 --- Estimation of Approximation Errors --- p.36 / Chapter 4.3 --- Floating Strike Lookback Options --- p.37 / Chapter 4.3.1 --- Accuracy for the Price Approximation --- p.39 / Chapter 4.4 --- Calibration --- p.40 / Chapter 5 --- Other Lookback Products --- p.43 / Chapter 5.1 --- Fixed Strike Lookback Options --- p.43 / Chapter 5.2 --- Lookback Spread Option --- p.44 / Chapter 5.3 --- Dynamic Fund Protection --- p.45 / Chapter 6 --- Numerical Results --- p.49 / Chapter 7 --- Conclusion --- p.53 / Appendix --- p.55 / Chapter A --- Verifications --- p.55 / Chapter A.1 --- Formula (4.12) --- p.55 / Chapter A.2 --- Formula (4.22) --- p.56 / Chapter B --- Proof of Proposition --- p.57 / Chapter B.1 --- Proof of Proposition (4.2.2) --- p.57 / Chapter C --- Black-Scholes Greeks for Lookback Options --- p.60 / Bibliography --- p.63
28

Filtering tools in financial market trading: from moving average to empirical mode decomposition.

January 2012 (has links)
技術分析包括圖表分析和技術指標分析。比較兩者,前者偏於主觀,並且解讀方式不一,而後者卻能用科學方法來考量。本研究論文先分析市場上流行的技術指標,移動平均線。交易員觀測兩條不同日數的移動平均線,從兩線相交處尋找進出市場的時機。從領域來看,兩條不同日數的移動平均線之差屬於一種帶通濾波器。本文將解釋帶通濾波器與市場進出規則之間的關係。除了移動平均線這種線性方法,我們同時考慮非線性的訊號處理工具。特別地,本研究採用近代提出的經驗模態分解法,得出類似移動平均線相交法的一種新交易策略。我們將文中提及的方法應用在香港及中國過去五年的股票市場,並給出數值結果以顯其效。 / Technical analysis includes chart pattern reading and stock market indicators. While the former is subjective and open to different interpretations, the latter is quantied in a more scientic way. The moving average, a popular market indicator, will be analyzed in this thesis. Traders monitor the crossovers of two moving averages with different durations to nd market entry timings. From the viewpoint of frequency domain, the difference of two such moving averages is found to be a band-pass filter. The relation between band-pass filter and market entry strategy is explained. Apartfrom linear methods such as the moving average,non linear signal processing tool is also studied. In particular,the modern empirical mode decomposition is applied to derive a new trading strategy similar to the moving average crossover rule. The introduced methods are put to the test in the Hong Kong and Chinese stock markets for the last five years. Numerical results are presented to show the performance of the methods. / Detailed summary in vernacular field only. / Lee, Tsz Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 64-66). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.7 / Chapter 2 --- Linear Filters --- p.11 / Chapter 2.1 --- Introduction --- p.11 / Chapter 2.2 --- Frequency response --- p.13 / Chapter 2.3 --- Recursive filters --- p.16 / Chapter 2.4 --- Convolution theorem --- p.20 / Chapter 3 --- Momentum Indicators --- p.23 / Chapter 3.1 --- Introduction --- p.23 / Chapter 3.2 --- Momentum indicators --- p.24 / Chapter 3.3 --- Crossover of two moving averages --- p.25 / Chapter 3.4 --- MACD and acceleration indicators --- p.27 / Chapter 4 --- Profitability of Momentum Indicators --- p.33 / Chapter 4.1 --- Introduction --- p.33 / Chapter 4.2 --- Trading methodology --- p.34 / Chapter 4.3 --- Evaluating the performance --- p.36 / Chapter 4.4 --- Results of evaluation --- p.39 / Chapter 5 --- Empirical Mode Decomposition --- p.45 / Chapter 5.1 --- Introduction --- p.45 / Chapter 5.2 --- Instantaneous frequency --- p.46 / Chapter 5.3 --- Empirical mode decomposition --- p.47 / Chapter 5.4 --- Trading methodology --- p.50 / Chapter 5.5 --- Results of evaluation --- p.52 / Chapter 6 --- Discussions --- p.57 / Chapter A Descriptive Statistics and Additional Numerical Results --- p.60 / Bibliography --- p.64
29

The estimation of vector multiplicative error model on contaminated data and its applications in forecasting volatilities. / CUHK electronic theses & dissertations collection

January 2013 (has links)
这篇论文研究了当假设的数据分布与实际不符时估计多维乘积误差模型参数的方法,和该模型在预测领域的应用。论文的第一部分讨论了两种在以前的文献中被用来估计该模型的估计方法:最大似然估计法和广义矩估计法。并在对数据做了不同的干扰后比较了这两种方法。比较结果显示这两种方法都易受偏离值的影响。因此论文的第二部分提出了一种新的估计方法:权重经验似然估计法。在模拟实验和使用包含了当前经济危机间断数据的标准普尔指数的实际实验中,对比最大似然估计法和广义矩估计法,权重经验似然函数显示出了对偏离值有更好的抗性。论文的第三部分进一步研究了多维乘积误差模型在预测中的应用。并且这一部分还提出了实波动性的一种新的分解方式。分解得到的两个新的变量可以被多维乘积误差模型所模拟。通过比较标准普尔指数和纳斯达克指数的预测结果,比起以前用来估计实波动性的三种模型,多维乘积向量模型和新的分解方式显示出了更强的预测能力。 / This thesis studies the estimations of vector Multiplicative Error Model (MEM) under different kinds of model mismatches and its application in forecasting. In the first part of the thesis, two estimation methods, Maximum Likelihood (ML) method and Generalized Method of Moments (GMM), which have previously been used on vector MEM, are compared through different situations of data contaminations. From the comparison results it is found that both ML and GMM estimators are suspected to outliers in data. Therefore in the second part of the thesis a novel estimator is proposed: Weighted Empirical Likelihood (WEL) estimator. It is shown to be more robust than ML and GMM estimators in simulations, and also in forecasting realized volatility and bipower volatility of S&P 500 stock index including the current financial crisis period. The forecast ability of vector MEM is further addressed in the third part of the thesis, where an alternative decomposition of realized volatility is proposed, and vector MEM is used to model and forecast the two components of realized volatility. From the realized volatility forecasts of S&P 500, NASDAQ and Dow Jones, this decomposition together with vector MEM are illustrated to have superior performances over three competing models which have been applied on forecasting realized volatility before. / Detailed summary in vernacular field only. / Ding, Hao. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 203-213). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Outline of the thesis --- p.5 / Chapter 1.2 --- Conclusion --- p.7 / Chapter 2 --- Background study --- p.9 / Chapter 2.1 --- Multiplicative Error Model --- p.9 / Chapter 2.1.1 --- Introduction --- p.9 / Chapter 2.1.2 --- Developments of MEM --- p.12 / Chapter 2.1.3 --- Vector MEM --- p.17 / Chapter 2.2 --- Two functions for multivariate analysis --- p.25 / Chapter 2.2.1 --- Copula function --- p.25 / Chapter 2.2.2 --- Depth function --- p.32 / Chapter 3 --- Two Estimators for Vector MEM --- p.39 / Chapter 3.1 --- Two Stage Maximum Likelihood --- p.40 / Chapter 3.1.1 --- Introduction --- p.41 / Chapter 3.1.2 --- Simulation of two stage ML --- p.44 / Chapter 3.2 --- Maximum Likelihood estimator --- p.48 / Chapter 3.2.1 --- Derivatives of score function --- p.50 / Chapter 3.3 --- GMM estimator --- p.57 / Chapter 3.4 --- Comparing ML and GMM through simulations --- p.60 / Chapter 3.4.1 --- Generation of clean data --- p.61 / Chapter 3.4.2 --- Data contamination --- p.62 / Chapter 3.4.3 --- Optimization --- p.64 / Chapter 3.4.4 --- Resutls on clean data --- p.65 / Chapter 3.4.5 --- Results on contaminated data --- p.66 / Chapter 3.5 --- conclusion --- p.69 / Chapter 4 --- Weighted Empirical Likelihood Estimator --- p.77 / Chapter 4.1 --- Introduction --- p.78 / Chapter 4.2 --- Vector multiplicative error model and two estimation methods --- p.83 / Chapter 4.3 --- Weighted Empirical Likelihood --- p.88 / Chapter 4.3.1 --- Inner optimization --- p.93 / Chapter 4.3.2 --- Calculation of weights --- p.97 / Chapter 4.4 --- Simulation study on outliers --- p.101 / Chapter 4.4.1 --- Clean data --- p.103 / Chapter 4.4.2 --- Outliers --- p.105 / Chapter 4.4.3 --- Simulation results --- p.108 / Chapter 4.5 --- Computations of high dimension vector MEM --- p.111 / Chapter 4.5.1 --- The influences of dimension on ML --- p.111 / Chapter 4.5.2 --- The influences of dimension on GMM --- p.113 / Chapter 4.5.3 --- The influences of dimension on WEL --- p.115 / Chapter 4.5.4 --- Simulation --- p.116 / Chapter 4.6 --- Compare weighted empirical likelihood and empirical likelihood --- p.118 / Chapter 4.7 --- Empirical example --- p.121 / Chapter 4.7.1 --- Model --- p.123 / Chapter 4.7.2 --- Forecast comparison criteria --- p.125 / Chapter 4.7.3 --- Results --- p.126 / Chapter 4.8 --- Conclusions --- p.127 / Chapter 5 --- Forecast RV by Vector MEM --- p.142 / Chapter 5.1 --- Introduction --- p.143 / Chapter 5.2 --- Multiplicative jump and vector MEM --- p.148 / Chapter 5.2.1 --- Multiplicative jump --- p.148 / Chapter 5.2.2 --- Vector MEM for jump and continuous components --- p.153 / Chapter 5.3 --- Empirical analysis --- p.156 / Chapter 5.3.1 --- Data summary --- p.157 / Chapter 5.3.2 --- Models --- p.160 / Chapter 5.3.3 --- Forecast comparison criteria --- p.164 / Chapter 5.3.4 --- Before-crisis period --- p.166 / Chapter 5.3.5 --- Crisis period --- p.172 / Chapter 5.3.6 --- Comparing M-jump and log M-jump --- p.176 / Chapter 5.3.7 --- Conclusion on empirical analysis --- p.183 / Chapter 5.4 --- Conclusion --- p.185 / Chapter 6 --- Conclusion and future Work --- p.198 / Bibliography --- p.203
30

Esscher transform of option pricing on a mean-reverting asset with GARCH.

January 2011 (has links)
Gao, Fei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 52-53). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Option Pricing with GARCH --- p.1 / Chapter 1.2 --- Mean Reversion in GARCH --- p.3 / Chapter 1.3 --- Thesis Setting --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- GARCH Model --- p.5 / Chapter 2.2 --- Locally Risk-Neutral Valuation --- p.8 / Chapter 2.3 --- Conditional Esscher Transform --- p.9 / Chapter 3 --- The Model --- p.12 / Chapter 3.1 --- The Mean-Reverting GARCH Model --- p.12 / Chapter 3.2 --- The Characteristic Functions --- p.15 / Chapter 3.3 --- Identification of Pricing Measures --- p.21 / Chapter 3.3.1 --- Conditional Esscher Transform --- p.21 / Chapter 3.3.2 --- Our Proposed Change of Measure --- p.25 / Chapter 4 --- Option Pricing --- p.30 / Chapter 4.1 --- Fast Fourier Transform --- p.30 / Chapter 4.2 --- Option on Futures : --- p.32 / Chapter 4.3 --- Numerical Analysis --- p.35 / Chapter 5 --- Empirical Analysis - Application to the crude oil market --- p.37 / Chapter 5.1 --- Description of data --- p.37 / Chapter 5.2 --- Estimation --- p.38 / Chapter 5.3 --- Comparisons --- p.40 / Chapter 6 --- Summary and Future work --- p.42 / Chapter 7 --- Appendix --- p.43 / Bibliography --- p.52

Page generated in 0.072 seconds