Sökning: "spread volatility"

Visar resultat 1 - 5 av 75 uppsatser innehållade orden spread volatility.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

  3. 2. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

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

    Författare :Max Thorendal; [2023]
    Nyckelord :;

    Sammanfattning : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. LÄS MER

  4. 3. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
    Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER

  5. 4. Hushålls förändrade elanvändningsmönster - En studie om hur Kraftringens hushållskunder har påverkats av höga och volatila elpriser.

    Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

    Författare :Emma Allard; Alice Green; [2023]
    Nyckelord :Effektavgift; timprisavtal; elförbrukning; energikris; förbrukningsmönster; hushållskunder; elbilsladdning; elvärme; Technology and Engineering;

    Sammanfattning : All grid companies, including Kraftringen, must until 2027 implement a new price component in the grid fee, a time differentiated effect fee which aims to create incentives for households to even out their electricity consumption over the day. During the fall and winter of 2022, the electricity prices rose a lot and the variability in the electricity price throughout the day was high. LÄS MER

  7. 5. Exploring the relationship between ESG performance and information asymmetry : Evidence from Nasdaq Stockholm

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Axel Pettersson; Herman Berggren; [2023]
    Nyckelord :ESG; ESG performance; information asymmetry; sustainability reporting; NFRD;

    Sammanfattning : The relationship between a firm’s ESG performance and information asymmetry is a well-covered research area, however, few studies have been conducted on the markets covered by EU regulation and the NFRD. This thesis aims to fill the research gap by examining the relationship between ESG performance and information asymmetry in firms listed on Nasdaq Stockholm, to provide evidence from the EU’s regulatory landscape. LÄS MER