Sökning: "Arbitrage pricing"

Visar resultat 16 - 20 av 45 uppsatser innehållade orden Arbitrage pricing.

  1. 16. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Mattias Jönsson; Ulrica Såmark; [2016]
    Nyckelord :Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

    Sammanfattning : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. LÄS MER

  3. 17. Gap Premium Pricing in Leveraged Exchange Traded Notes

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Axel Broström; Richard Krstiansson; [2016]
    Nyckelord :;

    Sammanfattning : Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. LÄS MER

  4. 18. Battery energy storage for intermittent renewable electricity production : A review and demonstration of energy storage applications permitting higher penetration of renewables

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

    Författare :Steffen Görtz; [2015]
    Nyckelord :Energy storage; Renewable electricity;

    Sammanfattning : Driven by resource politics and climate change, the transition from conventional fossil fuel based and centralized energy generation to distributed renewables is increasing rapidly. Wind and solar power generation offer carbon dioxide neutral electricity but also present some integration difficulties for energy system operators and planners due to intermittent power output. LÄS MER

  5. 19. An Introduction to Modern Pricing of Interest Rate Derivatives

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

    Författare :Hossein Nohrouzian; [2015]
    Nyckelord :Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Sammanfattning : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. LÄS MER

  7. 20. Winning with IVOL

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Anton Kristiansson; Sebastian Vogel; [2015]
    Nyckelord :idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

    Sammanfattning : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. LÄS MER