Sökning: "bonds"

Visar resultat 1 - 5 av 477 uppsatser innehållade ordet bonds.

  1. 1. Forecasting High Yield Corporate Bond Industry Excess Return

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carlos Junior Lopez Vydrin; [2018]
    Nyckelord :;

    Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER

  2. 2. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Malin Fredriksson; [2018]
    Nyckelord :Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

    Sammanfattning : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. LÄS MER

  3. 3. 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

  4. 4. 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

  5. 5. 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

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