Sökning: "Zero coupon"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Zero coupon.

  1. 1. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Benjamin Neander; Victor Mattson; [2023]
    Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

  3. 2. Investigation of portfolio strategies by means of simulation

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Alexander Schälin; [2022-07-01]
    Nyckelord :Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Sammanfattning : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. LÄS MER

  4. 3. Zero Coupon Yield Curve Construction Methods in the European Markets

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Andreas Möller; [2022]
    Nyckelord :Zero coupon; Yield curve construction; Forward monotone convex spline; Cubic spline; Nelson Siegel; Nelson Siegel Svensson; Hedge; Interpolation; Parameterization; Evaluation; Principal component; Nollkupong; Yieldkurva; Forward monotone convex spline; Kubisk spline; Nelson Siegel; Nelson Siegel Svensson; Interpolering; Parameterisering; Utvärdering; Principalkomponent; Hedge;

    Sammanfattning : In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. LÄS MER

  5. 4. Volatility- An investigation of the relationship between price- and yield volatility

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Samia Nasir; [2020]
    Nyckelord :Price Volatility; Yield Volatility; Python; Bonds; Zero-Coupon rate; COVID-19;

    Sammanfattning : This report investigates the relationship between the yield volatility and the price volatility in the Swedish market. The method given in our report can be used to analyze any market with appropriate data set. We have used a time-series data of interest rate yield curves from Swedish government bonds. LÄS MER

  7. 5. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Carmelid; [2017]
    Nyckelord :;

    Sammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER