Sökning: "Equity Derivative Model"
Hittade 4 uppsatser innehållade orden Equity Derivative Model.
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
2. 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
BEVAKA DENNA SÖKNING
Få ett mail när det kommer in nya uppsatser på ämnet Equity Derivative Model.