Μεταπτυχιακές Εργασίες

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Effects of oil prices on fundamental macroeconomic variables: an empirical investigation
(2024-03-01) Βιτωράτου, Αγγελική; Vitoratou, Angeliki; Athens University of Economics and Business, Department of Economics; Antoniou, Fabio; Pagratis, Spyros; Dendramis, Yiannis
Η συγκεκριμένη εργασία ερευνά τις διακυμάνσεις των τιμών του πετρελαίου στις θεμελιώδεις μακροοικονομικές μεταβλητές. Οι παράγοντες που τέθηκαν σε επεξεργασία έχουν βασιστεί στο άρθρο A.Cologni and M.Manera (2008) και αφορούν τα επιτόκια, τον πληθωρισμό, τις συναλλαγματικές ισοτιμίες, τη ζήτηση του χρήματος και το πραγματικό ΑΕΠ. Η διαδικασία διεξάγεται με δεδομένα τριμηνιαίας συχνότητας από τον Ιανουάριο, 01 1990 έως τον Ιανουάριο, 01, 2023. Να προστεθεί ότι η περίοδος που μελετάται περιλαμβάνει αρκετές κρίσεις με πιο πρόσφατες τη πανδημία του COVID-19 και το πόλεμο Ρωσίας Ουκρανίας, οι οποίες έχουν προκαλέσει διαταραχές στην οικονομική δραστηριότητα. Τα δεδομένα αντλήθηκαν από τη Federal Reserve Bank(Fed) και από το International Monetary Fund(IMF) για Ευρώπη (19 χώρες) και τις Ηνωμένες Πολιτείες. Αρχικά, χρησιμοποιήθηκε η μέθοδος Vector Autoregressive Model(VARs) για τη μελέτη της επίδρασης της χρονοσειράς του πετρελαίου στη χρονοσειρά της κάθε μεταβλητής. Έπειτα, για τον εντοπισμό και τη διόρθωση διακυμάνσεων και ετεροσκεδαστικότητας αξιοποιήθηκαν οι μέθοδοι ARCH και GARCH οι οποίες λειτουργούν συνδυαστικά. Ακολουθεί η μέθοδος VECM, η οποία είναι μια ειδική περίπτωση των VAR μοντέλων. Η χρήση της στην εργασία αποσκοπεί στην αλληλεπίδραση των τιμών του πετρελαίου με κάθε μία από τις μακροοικονομικές μεταβλητές. Πράγματι, διαπιστώθηκε ότι ο συντελεστής που επηρεάζεται περισσότερο και έντονα από τις διακυμάνσεις των τιμών του πετρελαίου είναι η συσσώρευση χρήματος σε Ευρώπη και Αμερική. Αυτό το αποτέλεσμα είναι καθοριστικό καθώς συγκλίνει με το άρθρο A.Cologni and M.Manera (2008), στο γεγονός ότι η ζήτηση χρήματος έχει άμεση σύνδεση με την οικονομική δραστηριότητα. Καταλήγουμε επομένως στο συμπέρασμα ότι οι δύο παράγοντες είναι εξαρτημένοι ακολουθώντας τη κλασσική θεωρία του χρήματος. Τέλος, διεξάχθηκαν γραφήματα μακροχρόνιων προβλέψεων τόσο για τις θεμελιώδεις μεταβλητές όσο και για τα κατάλοιπά τους. Στη πρώτη περίπτωση οι προβλέψεις φανερώνουν ότι οι διακυμάνσεις των τιμών του «μαύρου χρυσού» θα εξακολουθήσουν να επηρεάζουν τις μεταβλητές, ενώ στη δεύτερη περίπτωση τα κατάλοιπα θα είναι κανονικά προσαρμοσμένα αλλά θα υπάρχουν περισσότερες αυτοσυσχετίσεις.
Hedging using futures
Sarantopoulou-Chiourea, Sylvia-Anna; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias
In this thesis, we cope with hedging in general, different ways of doing hedging and in particular we focus on hedging using futures.At the beginning, we introduce derivative securities, what do we mean when we say derivatives, the different types of derivatives and how we can use them in order to do hedging against a risk. We briefly state three types of derivatives securities, forward contracts, future contracts and options.In the second chapter, we make an introduction to hedging. After explaining the main idea of hedging, we distinguish hedging strategies in two types, “hedge-and-forget-strategies” and “dynamic hedging strategies”. We then analyze the former type, presenting three subtypes of it, the fully hedged strategy, the no hedging at all and the half-hedged strategy.In the third chapter, we cope with hedging with duration. We first explain the idea behind duration, stating the Macaulay duration, the Modified Duration, the Euro-Duration and finally convexity. Secondly, we focus on hedging based on duration and we give emphasis to Duration- based hedge ratio, as well as portfolio immunization or duration matching.In the next two chapters, we present the Black-Scholes formula, the main assumptions of the model, the Greeks and their relation with hedging strategies, so as to be able to move to chapter six with Delta hedging, a very common strategy, based on the above tools. We present this strategy, giving an example and then analyzing how we can use this strategy in order to hedge against the risks. We use Delta hedging for a portfolio with options, as well as in the case of forward contracts. At the end of this chapter, we discuss hedging strategies using other Greeks, such as gamma and vega.In chapter seven, we introduce another strategy for hedging, based on minimum variance hedge ratio and we state the conditions in order to achieve perfect hedging.After having presented an overall background of hedging and hedging strategies, we now focus on hedging using futures, which is a really interesting and widely used strategy. First of all, we make a brief statement again of some general considerations, giving many examples, so as to remind some basic ideas and make them clear.We continue with the analysis of basis risk and an example of basis risk with different maturities and an example of basis risk with different assets. We then introduce hedge ratio and its mathematical analysis, which is used later in the empirical part. In addition, we make a distinction between static and dynamic hedging techniques.In the next part, we deal with a technique named “rolling the hedge”. Moreover, we state the differences between strip hedge and stack rolling hedge and the three options that a hedger has when the hedge in not perfect. At this point, we give an example of rollover basis, so as to make it completely clear to everyone.In the second part of the thesis, we make an empirical application of the hedging strategy using futures. We want to examine if hedging using futures is better compared to no hedging at all. Therefore, we construct two portfolios, one containing the FTSE20 of Greece and another with both the index and its corresponding future.Afterwards, we employ newest econometric techniques to estimate the dynamic hedge ratio, using both univariate and multivariate ARCH and GARCH models. We calculate the return of each portfolio and its variance and make a comparison between them. Finally, after having done many calculations, we conclude that the portfolio with hedging has a better performance than the portfolio which has only the index in terms of variance reduction.
Option Pricing and Dynamic Hedging Strategies
Ζιάκας, Ηλίας; Athens University of Economics and Business, Department of Economics; Τζαβαλής, Ηλίας
This dissertation focuses on option pricing and dynamic hedging strategies. The goal is to present the facts about option pricing and dynamic hedging and determine which is best for the purposes of implantation.In the first chapter we begin by giving some definitions about the market and its kinds such as exchange traded market and over-the-counter market. Also we define vanilla options and the properties of call and put options such as payoffs. The next chapter is about the pricing techniques and methods that are used to valuate stock options. Some of them are, the Binomial tree, the Black-Scholes model and Monte-Carlo simulation.“What are these methods for?”, “How do they work?”, “How did they form?” and “How did they evolve?” are some questions that are answered in this chapter through a detailed analysis and representation of each pricing model.In chapter 3 the main subject is hedging strategies and techniques. Hedging is what an investor does to reduce his risk. In other words, is an insurance against unforeseen events. There are numerous hedging techniques. The simple ones involve buying or selling call or put options and the complex ones involve making combinations of going simultaneously long or short or both in one or more call or put options or a combination of those with stocks. Also in this chapter we analyze the “Greeks’ which can help an investor examine the risk of his investment. Chapter 4 is about volatility. Volatility is the most important factor in option pricing and refers to all possible outcomes of an uncertain variable. There are two types of volatility, historical and implied. Also, there are some models that are used to describe and measure volatility such as the ARCH model, the EWMA model and the GARCH model.The final Chapter contains the implementation of pricing some stock options and performing the delta hedging strategy. The stocks were chosen from the Euro Stoxx 50index and they represent companies from various industry sectors and countries. We proceed to pricing the stock options with the Black-Scholes model and using the GARCH (1,1) and EGARCH (1,1) models to forecast the volatility that is used in the formula. The results are then used to compare the forecasting models and decide which is better. Next, we perform a portfolio analysis and compare the results according to some predefined constraints. In the end of the chapter, we demonstrate the delta hedging strategy from the view of an option writer. The expiration period is one month and there balancing frequency is daily. A geometric Brownian Motion(GBM) is used to simulate the stock prices until expiration. At the end of the chapter the conclusions of the implementation are presented.

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Πλοήγηση Μεταπτυχιακές Εργασίες ανά Θέμα "ARCH-GARCH Processes"