Sharif Digital Repository

Large deviation principle (LDP) for stochastic differential equation is one of the interesting and modern topics in stochastic analysis. Principally, this theory gives the rate of convergence to the solution of the corresponding deterministic equation when the noise tends to zero. The study of LDP for SDE’s has been initiated by M. Freidlin and A. Wentzell and then has been considered by many other researchers. Freidlin andWentzell divided the interval [0, T] to small subintervals and considered the diffusion coefficient as a constant on any small subintervals. Then the problem is reduced to the additive noise case. But using the contraction principle, the study of LDP for an equation with... 

In spite of the importance of life insurance and its performance, this industry has not received much attention in our country just like the other developing countries. In this research we have tried to identify and investigate some of the variables which seem to describe the income of life insurance. To study the long term impact of the variables the Engle-Granger and the ARDL methods are used, whereas the error correlation method is used to study the short term impact. The results suggest that the expected inflation, the dependency ratio, and the interest rate have positive relationships with the income, among all; the dependency ratio has the strongest impact. Also among all variables,... 

This research focuses on the topic of international portfolio diversification and its core attention is entitled to Middle East stock exchanges, as emergent markets. These markets are not analyzed yet as investment destinations for developed countries investors. Although all methodologies in this research are applied on ME markets data, but can be augmented and generalized for other markets. In this quest, we tried to investigate portfolio diversification opportunity for European (generally Frankfurt & Paris stock exchanges) or American investors with ME stock exchanges including Tehran, Istanbul, Saudi Arabia Tadawul, Abu Dhabi & Cairo stock exchanges, in order to reduce risk and increase... 

Stock exchanges are one of the most important capital markets and let people and institutions to insvest their savings in stocks and therefore earn money. Investors are going to select a portfolio that has the maximum return and minimum risk; so, they try to forecast stock returns and volatilities. Predictability of stock return and volatility is also important for asset pricing and investigating market efficiency. Now, the question is “are stock returns and volatilities predictable using historical returns and volatilities?” In this research, return and volatility predictability of Tehran Stock Exchange indexes by using historical data are investigated. First, the outocorrelation of return... 

P/E ratio is studied in four levels in this study:
1)Macroeconomics level
2)Capital market level
3)Industry level
4)Company level
The first level studies effects of macroeconomics variables on P/E ratio. At this level we use variables such as economic growth, inflation, exchange rate, and etc.The next level uses capital market variables such as market volume, and IPO information.The third level that we study in this research is industry level. Stocks of an industry generally behave similar, because they have common advantages and disadvantages, thus industry is an effective factor on P/E ratio.The last level studies financial statements and internal features of a... 

In this thesis, performance of share stocks after Initial Public Offering has been investigated. According to the findings, underpricing and long-term underperformance phenomena have been witnessed in Tehran Stock Exchange and this conforms with the findings of researches in other markets. This study also showed that there is no meaningful difference between private and state-owned offerings in terms of short-term and long-term performance and, in disagreement with the results of similar studies in other stock markets, long-term return of state-owned offerings is less than market return in the same period. Furthermore, this study revealed that amongst various characteristics of offerings,... 

In this thesis, we introduce two kinds of monotonicity in finite dimension and we consider the stochastic differential equations (SDEs) with monotone drift coefficients. Since we work on two different probability space, we present the thesis in two parts.In the first part, we consider an SDE on the probability space (Ω,F, P) with a One-Sided Lipschitz function as the drift coefficient. We also impose some conditions similar to semi-continuity on the drift. After introducing a numerical method,called Split-Step backward Euler method, we will show strong convergence of this scheme to the solution of the SDE. If we add a kind of polynomial growth on the drift, we will be able to find the rate... 

Risk in crude oil price is likely to occur due to changes in global oil demand, capacity of crude oil production and regional crisis. A future contract is the instrument primarily designed to hedge one’s exposure to unwanted risk. Hedging policies often implements through different hedge ratios estimation.
This study examines the performance of several econometrics models namely OLS, GARCH,BEKK,VECM-BEKK for the returns of West Texas Intermediate(WTI) oil spot and futures prices from 3 January 1995 to 31December 2010, to calculate static and daily time varying minimum variance optimal hedge ratios and suggest a crude oil hedge strategy.
We show that hedging effectiveness indicate... 

By means of classical Itô calculus, we decompose option prices as the sum of the classical Black–Scholes formula, with volatility parameter equal to the root-meansquare future average volatility, plus a term due to correlation and a term due to the volatility of the volatility. This decomposition allows us to develop first- and second-order Approximation formulas for option prices and implied volatilities in the Heston volatility framework, as well as to study their accuracy for short maturities.Numerical examples are given  

In this thesis, we study a continuous time financial market of some risky assets and a risk-free asset for investment in a finite time period. We use mean-variance approach for investment in this market. In the model considered here, the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. In first step, by filtering and in secound step by solving the stochastic control problem, we show that... 

Option Pricing is one of the most challenging topics in the world of Finance. There are a lot of option pricing models such as Black-Scholes model, Binomial Trees model, Monte Carlo method and Stochastic Volatility model. The last one is the most famous among all of them. The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the USA and in the EURO area. Therefore, Option Pricing Models should consider this fact. The stochastic volatility model of Oosterlee et al, notice a dynamic for interest rate and heeds interest rate as a stochastic factor. However, it does... 

One of the issues that has always been paid attention to financial markets is that the use of mathematical relations and formulas for the better estimation of the forecasts made by the process of indicators that are of great importance in financial markets. In financial markets, algorithms have been developed to help reduce the cost of executing transactions from a variety of factors, in order to impose less costs on traders. In these algorithms, a market order and a limited order are used in such a way that the cost of executing transactions can eventually be minimized. Under a limited order, traders determine how much their stake will be at what price they are willing to trade, but in the... 

The purpose of this study is to investigate the effect of Google search volume of trading tickers listed on the Tehran Stock Exchange, on volatility, abnormal returns, and trading volume. For this purpose, data related to the search volume as well as trading data for 22 trading tickers in the list of the 50 largest stock market companies from 2016 to 2020, has been extracted. After collecting data, the required calculations to estimate volatility and abnormal returns, as well as standardizing search volume and trading volume, are performed. Then the desired variables for all 22 selected tickers are placed in a data panel. Then, using the two main research models, descriptive and predictive... 

In this research, we propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity. We estimate a bivariate generalized autoregressive intensity process for the arrival rates of informed and uninformed trades for fifty actively traded stocks in Tehran Stock Exchange over one year of transaction data. Our results show that both informed and uninformed trades are highly persistent, but that the uninformed arrival forecasts respond negatively to past forecasts of the informed intensity. Our estimation generates daily conditional arrival rates of informed and uninformed trades,... 

In many methods of calculating Value-at-Risk (VaR), we need to calculate the value of the portfolio several times for different scenarios. Because an explicit formula is not available to calculate the value of some fixed income assets, calculating VaR for portfolios containing these assets imposes a heavy computational burden. In this study, we introduce a new method for calculating VaR for such portfolios. In this method, some of the existing scenarios are selected as basic scenarios and the value of the portfolio is calculated only for each of them. Next, using the calculated values, the portfolio values for other scenarios are estimated by interpolation (or extrapolation). Finally, by... 

I investigate methods of integrating prior hierarchical structure into hierarchical portfolio optimization methods. My contributions to the literature are forming a prior hierarchical structure based on investors' priorities and generating a unique representative distance matrix, which can be used as an input to other portfolio optimization methods too. In addition, I use SIC and GICs industry classifications as priory information for S&P500 companies and use them as a complementary input to the Hierarchical Risk Parity model and Hierarchical Equal Risk Contribution and compare the resultant portfolios' performance with (López de Prado, 2019)’s method of integrating prior information and... 

In this study, we combined supervised and unsupervised machine learning algorithms, included the benefits of true identification of good borrowers and costs of false identification of bad borrowers, and then proposed a model for predicting the default of loan applicants with a profit-based approach. The results show that our proposed model has the best performance in profit measure in comparison with individual supervised models. In fact, we first divided the data into two train sets and one test set. We have constructed our model by training unsupervised models on the first train set and supervised models on the second train set. The results of implementing the model on the Australian and... 

Pre-trade transparency and price discovery is one of the principal functions of financial markets. When the price of a certain asset is specified, sales process begins. With more pre-trade transparency that helps to process of price discovery, Investors trade more safely and thus this cause higher liquidity. One of the tools that helps to increase transparency and price discovery in financial markets is open limited order book. In this study, we deal with the limit order book in Tehran Stock Exchange (TSE) and try to answer the question Whether the information in the limit order book has the predictive power of future short-term returns of stocks in Tehran Stock Exchange and does it help to... 

In the basic model of this thesis, which is called nested cluster optimization, only one distance function is used for clustering to form clusters with similar characteristics, while depending on whether the optimization model is long-only or long-short, different functions can be used. The aim of this thesis is to find the optimal distance function between assets in the simple nested cluster optimization so that during three different and separate strategies, based on three criteria of the lowest risk, the highest Sharpe ratio, and the highest return, the optimal distance function of assets is selected and clustering and finally weighting the portfolio to be done. The optimal distance... 

The history of the researches conducted in the American, European and Iranian markets shows the importance of liquidity risk in the transactions of various types of financial assets. And as one of the important elements of risk in the pricing of financial assets, liquidity risk is considered for risk premium. Different criteria have been used to measure this type of risk in different researches, and their difference is in the ease of calculation and explanation. Liquidity risk can be divided into three categories: first, the commonality of liquidity risk of the portfolio or stock with market liquidity, second, the impact of portfolio or stock returns on the level of market liquidity, third,...