Sökning: "Term-structure"

Visar resultat 6 - 10 av 55 uppsatser innehållade ordet Term-structure.

1. 6. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Nikolas Tsigkas; [2022]
   Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

   Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

3. 7. Managing Expectations : Signalling effects of Federal Reserve Bank announcements over inflation expectations and expected real interest rates

   Master-uppsats, Södertörns högskola/Nationalekonomi

   Författare :Marianne Hanson; [2022]
   Nyckelord :monetary policy; communication; signaling; forward guidance; inflation expectations; real interest rates expectations.;

   Sammanfattning : Communication is an important aspect of modern monetary policy. Since the popularization of the inflation targeting framework, communication has been used to manage expectations and maintain credibility. In recent years, forward guidance as a signaling strategy has been recognized as an important tool of monetary policy. LÄS MER

4. 8. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jan Müller; [2022]
   Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

5. 9. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Nyckelord :Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Sammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER

7. 10. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Rickard Nordin; Emil Mårtensson; [2021]
   Nyckelord :Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

   Sammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER