In this study, the price dynamics of Certified Emission Reductions were forecasted by comparing and acquiring the most consistent and accurate forecast model using the diffusion processes: Geometric Brownian Motion, Vasicek ...

The biased parameter estimates generated by the Black-Scholes model have been attributed to the failure of the normality and constant volatility assumption to hold. Results of the improvement of the Black-Scholes-Merton ...

For the most recent years, risk has become one of the essential parameters in portfolio optimization problems. Today most practitioners and researchers in portfolio optimization have used variance as a standard risk measure. ...

The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ...

Despite forming an integral part of literature and practitioner knowledge, Markowitz based optimization has been shown to suffer severe drawback of estimation errors and sensitivity to input parameters when implemented in ...

Volatility and abrupt price changes is a problem that has marred the electricity market for decades. This problem is especially observed in deregulated markets whose prices are influenced by supply and demand factors. ...

The study examines the day of the week effect on average stock returns and compares the daily price volatilities in emerging and frontier markets in Africa. The study focuses on eight key stock markets in Africa’s emerging ...

Stock market is regarded as a leading indicator of all possible changes in the economy as it reflects investors' expectations of future economic conditions. In this regard, stock investors are always concerned about the ...

This study uses machine learning in the development of a dynamic investment strategy for portfolio optimization. We aim to explore the efficiency of this approach over a passively managed portfolio and assess the whether ...