Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. The degree of sensitivity andreliability of two different valuation models are studied. The valuation models chosen for this thesis are the local volatility model of Dupire and the implied volatility model of Black&Scholes. The two models are stress tested with varying volatilities within an uncertainty interval chosen to be the volatilities obtained from Bid and Ask market prices. The volatility surface of the Mid market prices is set as the relative reference and then successively scaled up and down to measure the uncertainty.The results indicates that the uncertainty in the chosen interval for theDupire model is of higher order than in the Black&Scholes model, i.e. thelocal volatility model is more sensitive to volatility changes. Also, the pricederived in the Black&Scholes modelis closer to the market price of the issued CPN and the Dupire price is closer tothe issued Autocall. This might be an indication of uncertainty in thecalibration method, the size of the chosen uncertainty interval or the constantextrapolation assumption.A further notice is that the prices derived from the Black&Scholes model areoverall higher than the prices from the Dupire model. Another observation ofinterest is that the uncertainty between the models is significantly greaterthan within each model itself. / Syftet med dettaexamensarbete är att studera inverkan av osäkerhet, i prissättningen av struktureradeprodukter, som uppkommer på grund av förändringar i volatilitetsytan. I dennastudie värderas olika slags autocall- och kapitalskyddade struktureradeprodukter. Strukturerade produkter har typiskt långa löptider vilket medförosäkerhet i värderingen då mängden data är begränsad och man behöver ta tillextrapolations metoder för att komplettera. En annan faktor som avgörstorleksordningen på osäkerheten är illikviditeten, vilken mäts som spreadenmellan listade Bid och Ask priset. Dessa orsaker ligger bakom intresset attstudera osäkerheten för långa löptider över alla lösenpriser och dess inverkanpå två olika värderingsmodeller.Värderingsmodellerna som används i denna studie är Dupires lokala volatilitetsmodell samt Black&Scholes implicita volatilitets modell. Dessa ställs motvarandra i en jämförelse gällande stabilitet och förmåga att fånga uppvolatilitets ändringar. Man utgår från Mid volatilitetsytan som referens ochuppmäter prisändringar i intervallet från Bid upp till Ask volatilitetsytornagenom att skala Mid ytan. Resultaten indikerar på större prisskillnader inom Dupires modell i jämförelsemot Black&Scholes. Detta kan tolkas som att Dupires modell är mer känslig isammanhanget och har en starkare förmåga att fånga upp förändringar isvansarna. Vidare notering är att priserna beräknade i Dupire är relativtbilligare än motsvarande från Black&Scholes modellen. En ytterligareobservation är att osäkerheten mellan värderingsmodellerna är av högre ordningän inom var modell för sig. Ett annat resultat visar att CPN priset beräknat iBlack&Scholes modell ligger närmast marknadspriset medans marknadsprisetför Autocallen ligger närmare Dupires. Detta kan vara en indikation påosäkerheten i kalibreringsmetoden eventuellt det valda osäkerhetsintervalletoch konstanta extrapolations antagandet.

ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. Green bonds demonstrated an asymmetric relationship to other assets providinginvestors with an opportunity for diversification. We’ve looked at the relationship andperformance of sustainable assets and non-sustainable assets by using Markowitz portfoliometrics and Engle Rs’ DCC-GARCH. Our findings propose green bonds and treasuries toprovide hedging and diversification opportunities during crises but demonstrate sustainablefixed income assets to underperform non-sustainable fixed income assets during the COVID19 market shock as opposed to previous studies.

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint. / Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint. / Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

Submitted by Mirian Abe (mirian_abe@yahoo.com.br) on 2011-09-21T14:00:34Z No. of bitstreams: 1 A Crise de 2008 e seu Impacto em Paises Economicamente Dependentes de Commodities.pdf: 1276747 bytes, checksum: 6c279c19ee74ca35e2d1d866b4327748 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-21T14:23:12Z (GMT) No. of bitstreams: 1 A Crise de 2008 e seu Impacto em Paises Economicamente Dependentes de Commodities.pdf: 1276747 bytes, checksum: 6c279c19ee74ca35e2d1d866b4327748 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-21T14:23:33Z (GMT) No. of bitstreams: 1 A Crise de 2008 e seu Impacto em Paises Economicamente Dependentes de Commodities.pdf: 1276747 bytes, checksum: 6c279c19ee74ca35e2d1d866b4327748 (MD5) / Made available in DSpace on 2011-09-21T14:25:42Z (GMT). No. of bitstreams: 1 A Crise de 2008 e seu Impacto em Paises Economicamente Dependentes de Commodities.pdf: 1276747 bytes, checksum: 6c279c19ee74ca35e2d1d866b4327748 (MD5) Previous issue date: 2011-08-31 / In this paper, the impact of commodities prices, measured through the CRB index, over the stock markets of six emerging economies, strongly dependent of these type of products, is analyzed. The sample includes South Africa, Brazil, Chile, India and Mexico, as exporters, and China, as importer. Besides commodities prices, other variables have an influence over the stock markets behavior, being the market humor and the foreign exchange very relevant, even more when it comes to emerging markets, that are subject to a certain degree of speculation coming from foreign investors. So, this work includes the S&P 500 and the foreign exchange as a control variable to serve as a thermometer of these intentions. The analysis is split between the periods before and after the global financial crisis that took over the markets on the second semester of 2008. The intention behind this separation is to verify if the investors behavior has changed after the crisis and if local economic indicators demonstrated more relevance in their investment decisions. Generally, the conclusion is that the impact of commodities prices in the stock markets increased after the crisis, and that the influence of the external market humor decreased. One possible understanding for this finding is that commodities producers were indeed less affected by the crisis and their economic performances detached from developed countries. One of the main reasons for this detachment is the rise of other countries, such as China, as inducers of the world economic development, and the transformation of these very emergent economies into regional focuses of growth. / Este trabalho pretende estudar o impacto dos preços das commodities, medido através do índice CRB, sobre os mercados de renda variável de seis países considerados emergentes e que têm o desempenho de suas economias fortemente atrelados a esta categoria de produtos. Dentro da amostra selecionada, África do Sul, Brasil, Chile, Índia e México são exportadores de commodities, e a China, é importadora destes produtos. Além dos preços das commodities, outras variáveis influenciam o comportamento das bolsas de valores, sendo o humor de mercado e o câmbio bastante relevantes, ainda mais quando se avalia mercados emergentes, que estão sujeitos a um certo grau de especulação por parte de investidores estrangeiros. Portanto, este estudo inclui o S&P 500 e o câmbio como variáveis de controle para servir como termômetro destas intenções. A análise é dividida entre os períodos anterior e posterior à crise financeira global que assolou os mercados no segundo semestre de 2008. A intenção por trás desta separação é verificar se o comportamento dos investidores mudou depois da crise e se indicadores econômicos locais passaram a ser mais relevantes nas suas decisões de investimento. De forma geral, pode-se concluir que o impacto dos preços das commodities nos mercados de renda variável aumentou após a crise, e que a influência do humor do mercado externo diminuiu. Um possível entendimento para esta constatação é que os países produtores de commodities realmente foram menos afetados pela crise e o desempenho de suas economias se descolou dos países desenvolvidos. Um dos principais motivos para este descolamento é a ascensão de outros países como indutores do crescimento mundial, tal como a China, e a transformação destes mesmos países emergentes em pólos regionais de crescimento.

波動度對於金融市場影響甚多，同時為金融資產定價的重要參數以及市場穩 定度的衡量指標，尤其在金融危機發生時，波動度指數的驟升反映資產價格震盪。 本篇論文嘗試捕捉S&P500 指數實現波動度與VIX變動率未來之動態，並將VIX、 VIX 選擇權與VVIX 納入預測模型中，探討其資訊內涵。透過研究S&P500 指數 實現波動度，能夠預測S&P500 指數未來之波動度與報酬，除了能夠觀察市場變 動，亦能使未來選擇權定價更為準確；而藉由模型預測VIX，能夠藉由VIX 選 擇權或VIX 期貨，提供避險或投資之依據。文章採用2006 年至2011 年之S&P500 指數、VIX、VIX 選擇權與VVIX 資料。 在 S&P500 指數之實現波動度預測當中，本篇論文的模型改良自先前文獻， 結合實現波動度、隱含波動度與S&P500 指數選擇權之風險中立偏態，所構成之 異質自我回歸模型(HAR-RV-IV-SK model)。論文額外加入VIX 變動率以及VIX指數選擇權之風險中立偏態作為模型因子，預測未來S&P500 指數實現波動度。 研究結果表示，加入VIX 變動率作為S&P500 指數實現波動度預測模型變數後， 可增加S&P500 指數實現波動度預測模型之準確性。 在 VIX 變動率預測模型之中，論文採用動態轉換模型，作為高低波動度之 下，區分預測模型的方法。以VIX 過去的變動率、VIX 選擇權之風險中立動差 以及VIX 之波動度指數(VVIX)作為變數，預測未來VIX 變動率。結果顯示動態 轉換模型能夠提升VIX 預測模型的解釋能力，並且在動態轉換模型下，VVIX 與 VIX 選擇權之風險中立動差，對於VIX 預測具有相當之資訊隱涵於其中。 / This paper tries to capture the future dynamic of S&P 500 index realized volatility and VIX. We add the VIX change rate and the risk neutral skewness of VIX options into the Heterogeneous Autoregressive model of Realized Volatility, Implied Volatility and Skewness (HAR-RV-IV-SK) model to forecast the S&P 500 realized volatility. Also, this paper uses the regime switching model and joins the VIX, risk neutral moments of VIX options and VVIX variables to raise the explanatory ability in the VIX forecasting. The result shows that the VIX change rate has additional information on the S&P 500 realized volatility. By using the regime switching model, the VVIX and the risk neutral moments of VIX options variables have information contents in VIX forecasting. These models can be used for hedging or investment purposes.

本系統係藉由分析歷史交易資料來預測S&P500期貨市場之漲幅。 我們改進了Tsaih et al. (1998)提出的混和式AI系統。 該系統結合了Rule Base 系統以及類神經網路作為其預測之機制。我們針對該系統在以下幾點進行改善：(1) 將原本的日期資料改為使用分鐘資料作為輸入。(2) 本研究採用了“移動視窗”的技術，在移動視窗的概念下，每一個視窗我們希望能夠在60分鐘內訓練完成。(3)在擴增了額外的變數 – VIX價格做為系統的輸入。(4) 由於運算量上升，因此本研究利用TensorFlow 以及GPU運算來改進系統之運作效能。 我們發現VIX變數確實可以改善系統之預測精準度，但訓練的時間雖然平均低於60分鐘，但仍有部分視窗的時間會小幅超過60分鐘。 / The system is made to predict the Futures’ trend through analyzing the transaction data in the past, and gives advices to the investors who are hesitating to make decisions. We improved the system proposed by Tsaih et al. (1998), which was called hybrid AI system. It was combined with rule-based system and artificial neural network system, which can give suggestions depends on the past data. We improved the hybrid system with the following aspects: (1) The index data are changed from daily-based in into the minute-based in this study. (2) The “moving-window” mechanism is adopted in this study. For each window, we hope we can finish training in 60 minutes. (3) There is one extra variable VIX, which is calculated by the VIX in this study. (4) Due to the more computation demand, TensorFlow and GPU computing is applied in our system. We discover that the VIX can obviously has positively influence of the predicting performance of our proposed system. The average training time is lower than 60 minutes, however, some of the windows still cost more than 60 minutes to train.