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Dissertations / Theses on the topic 'Asset models'

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Published: 4 June 2021
Last updated: 31 January 2023

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1

Davies, Philip R. "Empirical tests of asset pricing models." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1184592627.

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2

Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.

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Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One main strand is about the models which allow a jump component in the asset price. The first topic of this thesis is about the study of jump risk premium by an equilibrium approach. Different from others, this work provides a more general result by modeling the underlying asset price as the ordinary exponential of a L?vy process. For any given asset price process, the equity premium, pricing kernel and an equilibrium option pricing for
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3

Murara, Jean-Paul. "Asset Pricing Models with Stochastic Volatility." Licentiate thesis, Mälardalens högskola, Utbildningsvetenskap och Matematik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-31576.

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Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. Stochastic volatility models appear as a response to the weakness of the constant volatility models. In Paper A , we present a survey on popular diffusion models where the volatility is itself a random process and we present the techniques of pricing European options under each model.
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4

Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th
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5

Galagedera, Don U. A. "Investment performance appraisal and asset pricing models." Monash University, Dept. of Econometrics and Business Statistics, 2003. http://arrow.monash.edu.au/hdl/1959.1/5780.

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6

Chen, Ping, and 陈平. "Asset-liability management under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B43223928.

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7

Ong, Alen Sen Kay. "Asset location decision models in life insurance." Thesis, City University London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.336430.

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8

Hong, Harrison G. (Harrison Gregory). "Dyanmic models of asset returns and trading." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10315.

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9

De, Araujo Pedro Falcão. "Heterogeneity in macro models of asset accumulation." [Bloomington, Ind.] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3337250.

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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.<br>Title from PDF t.p. (viewed on Jul 28, 2009). Source: Dissertation Abstracts International, Volume: 69-12, Section: A, page: 4804. Adviser: Gerhard Glomm.
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10

Chen, Ping. "Asset-liability management under regime-switching models." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B43223928.

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11

Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options." Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.

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The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the op
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12

Parmler, Johan. "Essays in empirical asset pricing." Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2005. http://www.hhs.se/efi/summary/691.htm.

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13

Brandão, Diego Gusmão. "Three essays on the estimation of asset pricing models." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17994.

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Submitted by Diego Brandão (digusmao@hotmail.com) on 2017-01-06T20:29:33Z No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5)<br>Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-02-20T13:39:19Z (GMT) No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5)<br>Made available in DSpace on 2017-03-03T12:50:29Z (GMT). No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25f
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14

Yoon, Jai-Hyung. "Four essays on international real business cycle and asset pricing models." Monash University, Dept. of Accounting and Finance, 2002. http://arrow.monash.edu.au/hdl/1959.1/8520.

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15

Yang, Cheng-Yu. "Essays on multi-asset jump diffusion models : estimation, asset allocation and American option pricing." Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/93986/.

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In the first essay (Chapter 2), we develop an efficient payoff function approximation approach to estimating lower and upper bounds for pricing American arithmetic average options with a large number of underlying assets. This method is particularly efficient for asset prices modeled by jump-diffusion processes with deterministic volatilities because the geometric mean is always a one-dimensional Markov process regardless of the number of underlying assets and thus is free from the curse of dimensionality. Another appealing feature of our method is that it provides an extremely efficient way t
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16

Spurway, Kayleigh Fay Nanette. "A study of the Consumption Capital Asset Pricing Model's appilcability across four countries." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013016.

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Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, esti
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17

Näsström, Jens. "Volatility Modelling of Asset Prices using GARCH Models." Thesis, Linköping University, Department of Electrical Engineering, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1625.

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<p>The objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. The four data series that are used in the estimation are price series from: Münchner Rück, Suez-Lyonnaise des Eaux, Volkswagen and OMX, a Swedish stock index. The risk prediction is done with univariate GARCH models. GARCH models are estimated and validated for these four data series. </p><p>Conclusions are drawn regarding different GARCH models, their numbers
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18

Rossvoll, Eivind. "Asset Pricing Models and the Norwegian Stock Market." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23067.

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19

Vassalou, Maria G. "A test of alternative international asset pricing models." Thesis, London Business School (University of London), 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261703.

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20

Petherick, Stuart Gary. "Fractal activity time risky asset models with dependence." Thesis, Cardiff University, 2011. http://orca.cf.ac.uk/55127/.

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The paradigm Black-Scholes model for risky asset prices has occupied a central place in asset-liability management since its discovery in 1973. While the underlying geometric Brownian motion surely captured the essence of option pricing (helping spawn a multi-billion pound derivatives industry), three decades of statistical study has shown that the model departs significantly from the realities of returns (increments in the logarithm of risky asset price) data. To remedy the shortcomings of the Black-Scholes model, we present the fractal activity time geometric Brownian motion model proposed b
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21

Dalderop, Jeroen Wilhelmus Paulus. "Essays on nonparametric estimation of asset pricing models." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/277966.

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This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock ret
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22

Zhou, Xinfeng. "Application of robust statistics to asset allocation models." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36231.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2006.<br>Includes bibliographical references (p. 105-107).<br>Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial assets) subject to various constraints such as a given level of return, concentration limits, etc. The expected returns a
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23

Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.

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This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods
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24

Simin, Timothy T. "The poor predictive performance of asset pricing models /." Thesis, Connect to this title online; UW restricted, 2002. http://hdl.handle.net/1773/8823.

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25

Liu, Liu. "Essays in asset pricing." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/essays-in-asset-pricing(c5e4c9b3-04b2-4e6e-97bc-e445b1ee6b4d).html.

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This thesis improves our understanding of asset prices and returns as it documents a regime shift risk premium in currencies, corrects the estimation bias in the term premium of bond yields, and shows the impact of ambiguity aversion towards parameter uncertainty on equities. The thesis consists of three essays. The first essay "The Yen Risk Premiums: A Story of Regime Shifts in Bond Markets" documents a new monetary mechanism, namely the shift of monetary policies, to account for the forward premium puzzle in the USD-JPY currency pair. The shift of monetary policy regimes is modelled by a reg
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26

Ajrapetova, Tamara. "Asset Pricing in Emerging Markets." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359270.

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General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM mod
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27

Hatgioannides, John. "Essays on asset pricing in continuous time." Thesis, Birkbeck (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.244543.

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28

Sagi, Jacob S. "Partial ordering of risky choices : anchoring, preference for flexibility and applications to asset pricing." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0019/NQ56611.pdf.

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29

Chaieb, Ines. "Essays on international asset pricing under segmentation and PPP deviations." Thesis, McGill University, 2006. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102485.

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This dissertation comprises two essays. The first essay develops and tests a theoretical model that provides new insights when markets are partially segmented and the purchasing power parity (PPP) is violated which seems to be the case for the majority of national markets. The theoretical part derives closed form solutions for asset prices and portfolio holdings. Particularly, we show that deviations from PPP in mildly segmented markets induce a new form of systematic risk, termed segflation risk, and in equilibrium investors require compensation for this risk. A strong feature of the model is
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30

Caliskan, Nilufer. "Asset Pricing Models: Stochastic Volatility And Information-based Approaches." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608213/index.pdf.

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We present two option pricing models, both different from the classical Black-Scholes-Merton model. The first model, suggested by Heston, considers the case where the asset price volatility is stochastic. For this model we study the asset price process and give in detail the derivation of the European call option price process. The second model, suggested by Brody-Hughston-Macrina, describes the observation of certain information about the claim perturbed by a noise represented by a Brownian bridge. Here we also study in detail the properties of this noisy information process and give the deri
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31

Bäurer, Patrick [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "Credit and liquidity risk in Lévy asset price models." Freiburg : Universität, 2015. http://d-nb.info/1115861794/34.

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32

Oagile, Joel. "Sequential Calibration of Asset Pricing Models to Option Prices." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29840.

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This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A simulation study is performed and the non-linear filtering methods are compared to the standard least square method (LSQ). The results show that both methods are capable of tracking the hidden state and time varying parameters with varying success. The non-linear filtering methods are faster and ge
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33

Wang, Shuo. "Optimization Models for Network-Level Transportation Asset Preservation Strategies." University of Toledo / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1416578565.

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34

Bach, Christian. "Asset Pricing and Habit Models for Calculating Bond Prices /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. http://mit.econ.au.dk/Library/Specialer/2008/20033894.pdf.

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35

Chu, Kai-cheung, and 朱啟祥. "The effects of mean reversion on dynamic corporate finance and asset pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47752762.

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 This thesis aims to investigate the effects of mean reversion on dynamic corporate finance decisions and stock pricing. In Chapter 1, a continuous-time real option model of mature firm that produces product with exogenous mean reverting price is developed to study the firm’s optimal exit and leverage policies. Simulation results show that both liquidation and bankruptcy triggers are negatively related to the long run price levels, while the speed of mean reversion interacts with the long run price level to affect the firm’s exit decisions in two opposite directions depending on the l
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36

Kam, Wai-hung Simon, and 甘偉雄. "Capital asset pricing model: is it relevant in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31265686.

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37

Zaffaroni, Paolo. "Nonlinear long memory models with applications in finance." Thesis, London School of Economics and Political Science (University of London), 1997. http://etheses.lse.ac.uk/1468/.

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The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment decision on the expected risk and return as formalized in classical asset pricing theory. Precise evaluation of volatilities is a compulsory step in order to perform correct options pricing according to recent theories of the term structure of interest rates and for the construction of dynamic hedge portfolios. Models of time varying volatility rep
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38

Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.

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39

Karam, Philippe Doumit. "Dynamic asset pricing models with incomplete markets and market frictions." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq22471.pdf.

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40

Sherif, Mohamed A. "Modelling consumption asset pricing models : empirical evidence from the UK." Thesis, University of Manchester, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633243.

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This thesis adopts a range of different methodologies in an attempt to evaluate the performance of consumption-based asset pricing models. In particular, it sets out to investigate the relationship between asset prices, consumption and investment decisions. Different utility functions are used in an attempt to examine their roles in pricing assets, reducing pricing errors and solving the equity premium puzzle. First considered is whether the value of relative risk aversion can be changed by using parametric tests and different utility functions. Whereas the power utility model introduces a bas
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41

Bart-Williams, Claudius Pythias. "On asset pricing and the equity premium puzzle." Thesis, Brunel University, 2000. http://bura.brunel.ac.uk/handle/2438/6371.

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Presented here are consumption and production related asset pricing models which seek to explain stock market behaviour through the stock premium over risk-free bonds and to do so using parameter values consistent with theory. Our results show that there are models capable of explaining stock market behaviour. For the consumption-based model, we avoid many of the suggestions to artificially boost the predicted stock premium such as modelling consumption as leverage claims; instead we use the notion of surplus consumption. We find that with surplus consumption, there are models including the mu
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42

Kim, Joocheol. "Stochastic programming approach to asset liability management under uncertainty." Diss., Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/25324.

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43

Carter, Bradley. "Capital asset pricing model (CAPM) applicability in the South African context and alternative pricing models." Diss., University of Pretoria, 2015. http://hdl.handle.net/2263/52363.

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The ability to accurately price equity is an ineluctable requirement within businesses where decisions need to be taken daily that impact upon the future viability of that business. The Capital asset pricing model (CAPM) is the preeminent tool that has become entrenched within academia and business for exactly the purpose of costing equity capital. This study aimed to prove whether the application of the CAPM, in various forms, including the Black s CAPM, was merely a myopic inculcation of the academic and business spheres, or whether it truly reflected the empirical reality of the South Afr
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44

Manopchantarote, Chatsupa. "The performance of adaptive simulated annealing in building asset pricing models /." Available to subscribers only, 2005. http://proquest.umi.com/pqdweb?did=1095439881&sid=11&Fmt=2&clientId=1509&RQT=309&VName=PQD.

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Thesis (M.S.)--Southern Illinois University Carbondale, 2005. Regression analysis is a method for determining the association between a dependent variable and one or more independent variables. It plays an important role in various research and practical application. Up until now, there is no single best technique to find solution because the problem turns out to be intractable when the number of independent variables become large. Presently, there are many techniques to solve this problem both greedy algorithms and exhaustive searches. Therefore, the quality of solution depends on computation
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45

Roman, Diana. "Models for choice under risk with applications to optimum asset allocation." Thesis, Brunel University, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.427730.

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46

Hussain, Syed Iqbal. "Financial distress, asset pricing models and market anomalies : the UK evidence." Thesis, University of Nottingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.251738.

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47

Moyo, Nigel A. P. "Evaluation of Asset Pricing Models in the South African Equities Market." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32887.

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Asset pricing models have been of interest since their origin in modern finance. The Capital Asset Pricing Model is a widely used tool and is one of the early developed asset pricing models in modern finance. There are continual improvements of this model with the evident multifactor models of Fama and French (2015), Carhart (1997) and the South African two – factor arbitrage pricing models of Van Rensburg (2002) and Laird-Smith et al. (2016). This research empirically investigates the performance of eight-different multi-factor asset pricing models in describing average portfolio returns in t
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48

Semenov, Andrei. "Intertemporal utility models for asset pricing : reference levels and individual heterogeneity." Thèse, [Montréal] : Université de Montréal, 2003. http://wwwlib.umi.com/cr/umontreal/fullcit?pNQ92724.

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Thèse (Ph.D.) -- Université de Montréal, 2004.<br>"Thèse présentée à la Faculté des études supérieures en vue de l'obtention du grade de Philosophiae Doctor (Ph.D.) en sciences économiques" Version électronique également disponible sur Internet.
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49

Cunningham, James K. (James Kenneth). "A Canadian study of admissible monetary asset groupings using nonparametric demand analysis." Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=22577.

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Structural change and innovation in the market for financial services in recent years have drawn attention to the fact that traditional definitions of money as included in demand for money models and monetary aggregation measures may be misspecified. It is unclear whether or to what extent broader measures of money should be used as targets in monetary policy or as indicators of changes in the real economy. This thesis is a nonparametric empirical test of monetary asset, leisure and consumption good data which seeks to examine whether the underlying structure of preferences implied by monetary
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50

Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market.
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