Sökning: "Equity Derivative Model"

Hittade 4 uppsatser innehållade orden Equity Derivative Model.

  1. 1. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. On the Valuation of Contingent Convertibles (CoCos): Analytically Tractable First Passage Time Model for Pricing AT1 CoCos

    Master-uppsats, KTH/Matematisk statistik

    Författare :Bianca Dufour Partanen; [2016]
    Nyckelord :Contingent Convertibles; Pricing; Structural model; First passage time model; AT1P model; Calibration.;

    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

  3. 3. Model risk quantification in option pricing

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Michael Montag; Fredrik Persson; [2015]
    Nyckelord :Mathematics and Statistics;

    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

  4. 4. Convertible Bonds: a Qualitative and Numerical Analysis

    Kandidat-uppsats, KTH/Matematik (Inst.); KTH/Matematik (Inst.)

    Författare :Bianca Dufour Partanen; Emelie Järnberg; [2014]
    Nyckelord :;

    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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