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Filtered Historical SimulationValue at Risk for Options: A Dimension Reduction Approach to Model the VolatilitySurface Shifts
Umeå University, Faculty of Science and Technology, Department of Physics.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Place, publisher, year, edition, pages
2019. , p. 65
Keywords [en]
Volatility surface, Principle Component Analysis, Implied volatility, Value at Risk, Historical simulation, Volatility surface shifts, Dimension reduction, Options, Risk
National Category
Natural Sciences
Identifiers
URN: urn:nbn:se:umu:diva-160344OAI: oai:DiVA.org:umu-160344DiVA, id: diva2:1326070
External cooperation
CinnoberFinancial technology
Subject / course
Examensarbete i teknisk fysik
Educational program
Master of Science Programme in Engineering Physics
Presentation
2019-06-10, Universitetsklubben, Universum, Umeå Universitet, Umeå, 12:00 (Swedish)
Supervisors
Examiners
Available from: 2019-06-19 Created: 2019-06-17 Last updated: 2019-06-19Bibliographically approved

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fulltext(1912 kB)63 downloads
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Type fulltextMimetype application/pdf

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Gunnarsson, Fredrik
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf