Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 89 for “"Risk-neutral"”.
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Risk-neutral pricing in a behavioural framework
This thesis investigates three issues related to risk-neutral pricing. The first aspect investigated is the effect of discretization and truncation errors on risk-neutral moments, as defined in Bakshi, Kapadia and Madan (2003). It proposes exact solutions for the finite integrals in the volatility, …
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Risk neutral measures and GARCH model calibration
… Pricing such option contracts requires the risk neutral return dynamics of underlying asset. Since under the GARCH framework the market is incomplete, there is more than one risk neutral measure. In this thesis, we study the locally risk neutral valuation relationship, the mean correcting …
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A Comparative Static Analysis For Invasive Species Management Under Risk Neutral Preferences
… technologies employed to reduce the risk of biological invaders in the presence of exogenous variables within the probability and damage functions. This is accomplished by using a theoretical endogenous risk model that extends previously developed frameworks. This thesis contributes …
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Utility driven change of measure
… measure can be carried out based on the risk preference of a representative investor. Using the stochastic discount factor and the Radon-Nikod´ym derivative, we are able to obtain the risk-neutral measure given a real world measure and a preference structure defined by a utility function. …
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Three Essays in Empirical Studies on Derivatives
… swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The risk composition is measured by the systematic risk proportion, defined as the proportion of the systematic variance in the total …
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Essays in Behavioral Economics: Applying Prospect theory to Auctions
… auctions with prior experience and /or against risk-neutral Nash rivals where ambiguity effects could be altogether irrelevant, anticipated loss aversion by itself can explain aggressive bidding. This is a novel result in the literature. Using data from experiments, I find that ambiguity effects …
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Essays in credit derivatives
… claim that CDS spreads reflect ""purer"" default risk than the bond spreads. We investigate whether the CDS market is really liquid. Since it is hard to define and measure liquidity precisely, we use an event study to answer the question. The event is when a CDS is included into the CDX index. …
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Pricing of contingent claims under the real-world measure
… this approach, the existence of an equivalent risk-neutral probability measure is not required. Furthermore, the GOP can be used to define other basic contingent claims, such as exchange prices, primary security accounts, and even zero-coupon bonds. We begin with application of the real-world …
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Implied probability distributions : estimation, testing and applications
… techniques for the estimation of implied risk-neutral densities. As a general rule, an assumption for a theoretical equilibrium option pricing model is made and with the use of cross-sections of observed options prices point estimates of the risk-neutral probability densities are obtained. …
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Value at risk and the distortion operator
VaR is a popular measure for benchmarking market risk based on price or return fluctuations of instruments among institutions. Calculation of VaR depends very much on the model explaining the price changes and volatility of the underlying assets. However, theoretical models can be very unrealistic …
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Essays on financial econometrics : cojump detection and density forecasting
… incorporates stochastic volatility to extract risk-neutral densities from option prices. From historical high-frequency returns, we use the HAR-RV model to calculate realised variances and lognormal price densities. We use a nonparametric transformation to transform risk-neutral densities into …
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Estimating dynamic affine term structure models
… affine term structure models when the price of risk is dynamic, that is, risk factor dependent. The risk neutral parameters are estimated with precision, while the price of risk parameters are not. For the Gaussian models they investigated, these problems are replicated and are shown to stem …
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Extracting risk aversion estimates from option prices/implied volatility
The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… of the tail factor, I recover moments of the risk-neutral distribution of market returns. The risk-neutral moments are directly related to the implications of the 3-factor pricing model and the impact of the tail factor. The tail factor jumps whenever there are jumps in the underlying asset, …
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Empirical identification of the risk shifting aspect of labor market implicit contracts
… and workers differ in their attitudes towards risk. The optimal wage and employment contract calls for shifting some of the risk associated with a randomly fluctuating marginal product of labor from the more risk averse party to the less risk averse party. The purpose of this dissertation is to …
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Pricing interest rate contingent claims
… solving partial differential equations and the risk-neutral pricing methodology.
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Economic Experiments on Conflict, Information Acquisition, and Public Goods
… explore human conflict in the third chapter, “Risk Preferences and Reform Paths: Experimental Evidence.”</p> <p>In my first chapter, “Well, at Least I Tried: Partial Willful Ignorance, Information Acquisition, and Social Preferences”, I investigate whether remaining partially ignorant of the …
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Empirical essays on inferring information from options and other financial derivatives
… Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability of default, to calibrate to the market option prices. The CDS model assumes a constant default probability which is solved from …
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Temporally Feathered Radiation Therapy under Uncertainty
… heterogeneity and uncertainty in organ-at-risk (OAR) responses. Building on the temporally feathered radiation therapy (TFRT) strategy, we develop a personalized, biologically informed treatment framework that dynamically adjusts dose intensities and rest periods based on tissue-specific …
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Survivor bond models for securitizing longevity risk
<p>"Longevity risk is the risk that a reference population’s mortality rates deviate from what is projected from prior life tables. This is due to discoveries in biological sciences, improved public health measures, and nutrition, which have dramatically increased life expectancy. Longevity risk …
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