Sökning: "Term-structure"

Visar resultat 16 - 20 av 55 uppsatser innehållade ordet Term-structure.

  1. 16. Trading Volatility : Trading strategies based on the VIX term structure.

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Oskar Fransson; Henrik Mark Almqvist; [2020]
    Nyckelord :Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Sammanfattning : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. LÄS MER

  3. 17. Empirical Study on the Term Structure for Stockholm Commercial Property Leases

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Filip Alveman; Gustav Karlsson; [2019]
    Nyckelord :Office rent; Lease term; Term structure; Rental index;

    Sammanfattning : Over recent years, the economic climate on the Swedish office market has been advantageous, and, as a result, both property prices and market rents have been on a constant rise for almost a decade. Moreover, an increased demand for flexibility in lease terms has been seen on the market, which begs the question; how would changing preferences in length of tenure affect rent levels? There exist several convincing theoretical cases that leases should yield different pricing dependent on its maturity and expectation about future market conditions. LÄS MER

  4. 18. MahlerNet : Unbounded Orchestral Music with Neural Networks

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Elias Lousseief; [2019]
    Nyckelord :music; composition; algorithmic composition; neural networks; recurrent neural networks; RNN; variational autoencoder; VAE; LSTM; BALSTM; MusicVAE; PerformanceRNN; BachProp; musik; komposition; algoritmisk komposition; neurala nätverk; recurrent neural networks; RNN; variational autoencoder; VAE; LSTM; BALSTM; MusicVAE; PerformanceRNN; BachProp;

    Sammanfattning : Modelling music with mathematical and statistical methods in general, and with neural networks in particular, has a long history and has been well explored in the last decades. Exactly when the first attempt at strictly systematic music took place is hard to say; some would say in the days of Mozart, others would say even earlier, but it is safe to say that the field of algorithmic composition has a long history. LÄS MER

  5. 19. INTEREST RATE RISK : A comparative study aimed at finding the most crucial shift in interest rate curves for a life insurance company

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Felix Gyllenberg; Leonard Rudolf Åström; [2019]
    Nyckelord :;

    Sammanfattning : Risk management is applied in many financial institutions under regulatory supervision. Life insurance companies face many challenges to ensure policy holders of future payouts. LÄS MER

  7. 20. Farväl till Libor

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Felicia Eklund; [2019]
    Nyckelord :LIBOR; referensräntor; ARR; övergång; overnight; Business and Economics;

    Sammanfattning : After the financial crisis in 2008 and the Libor scandal 2012 today’s reference rates have been questioned and debated. This has led to the ongoing work around the world; replacing the traditional IBOR’s with new, transaction-based reference rates. LÄS MER