Sökning: "Equity Derivative Model"
Hittade 5 uppsatser innehållade orden Equity Derivative Model.
- Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik
Sammanfattning : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. LÄS MER
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
3. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCosMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : Contingent Convertibles (CoCos) are a new type of hybrid debt instrument characterized by forced equity conversion or write-down under a specified trigger event, usually indicating a state of near non-viability of the Additional Tier 1 capital category, giving them additional features such as possible coupon cancellation. In this thesis, the structure of CoCos is presented and different pricing approaches are introduced. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. LÄS MER
- Kandidat-uppsats, KTH/Matematik (Inst.); KTH/Matematik (Inst.)
Sammanfattning : A convertible bond is a nancial instrument which has both an equity partand a xed-income part. The pricing of nancial securities has for quiteobvious reasons become extensively studied in the past decades. In thispaper we study the Black-Scholes model, based on the equity value, wherethe equity is modelled by geometric brownian motion. LÄS MER
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