Proxying Bond Credit Spreads with Machine Learning

The bond market is affected by the shortage of liquidity problem, which means that many bonds are not frequently traded. This implies that market data for these bonds are missing. This lack of data represent a problem for financial risk measures such as Value at Risk (VaR). This research provides the framework for the construction of a proxy...

Analysis of the impact of news on the financial market

In this work we set out to determine the impact, if any, of the analysis of news on stock price prediction, that is, are we able to predict stock movements more accurately on a consistent basis than a proposed baseline or random guessing on the basis of news’ text analysis. We considered a methodology to be more accurate if its success rate is...

Compound Options: Numerical valuation methods and a real option application

In this thesis, several compound options and a real option application will be valued. First, an introduction to real options and our application will be given and bridges between financial and real options will be established. Then, an asset price model will be introduced which will be used throughout the whole thesis to value options, and...