Sökning: "bonds"

Visar resultat 1 - 5 av 469 uppsatser innehållade ordet bonds.

  1. 1. The Fallacy of The Cox, Ingersoll & Ross Model. An empirical study on US bond data

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Gusten Lindkvister; Philip Swärd; [2017-07-26]
    Nyckelord :Term-structure; CIR; interest rates; bonds; US Treasury Notes;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. 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

  3. 3. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Sammanfattning : MSc in Finance.... LÄS MER

  4. 4. My word is my bond. Risk assessment of the Swedish mortgage portfolio

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Robert Vannerberg; Fabian Carlsson; [2017-07-25]
    Nyckelord :Swedish Mortgage Portfolio; Covered Bond; Cover Pool; House Price risk; Mortgage risk; Credit risk; Liquidity risk;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. CATASTROPHE BONDS - An investment analysis of their performance and diversification benefits

    Kandidat-uppsats,

    Författare :Viktor Karlsson; Emelie Karnebäck; [2017-07-03]
    Nyckelord :;

    Sammanfattning : This thesis employs total return indices to investigate if catastrophe bonds are zero-beta assets and how they have performed compared to other assets. We conduct time series regressions and conclude that catastrophe bond returns are correlated with both the return of the equity- and the high yield corporate bond market during the subprime financial crisis, but find no significant correlation after the crisis. LÄS MER

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