The Performance of Market Risk Measures on High and Low Risk Portfolios in the Norwegian and European Markets.
A basic overview of mathematical finance and pricing theory is given. The Black-Scholes model and the LIBOR Market Model are explained, and their assumptionsare discussed and tested on historical data. The normality of log-returns of stocksand forward rates is tested for different time periods, and...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2012
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-19084 |