Sökning: "Black 76"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Black 76.

  1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  3. 2. Summer cover crops after harvest of early potatoes control seed weeds

    Master-uppsats, SLU/Dept. of Plant Breeding (from 130101)

    Författare :Amanda Ahlqvist; [2019]
    Nyckelord :cover crops; buckwheat; Fagopyrum esculentum; sudangrass; Westerwoldisch ryegrass; crimson clover; Persian clover; seed weeds; weed management; marigold; tagetes; early potatoes; potatoes;

    Sammanfattning : To reduce pesticides and find greener alternatives for weed management in crop production has been a big issue worldwide. In Sweden, the Board of Agriculture has developed grants for farmers who use e.g. cover crops and new and greener strategies (e. LÄS MER

  4. 3. Systemidentifiering och felklassificering av tvåtankssystem : En demonstration av smart underhåll

    M1-uppsats, Högskolan i Gävle/Avdelningen för elektronik, matematik och naturvetenskap

    Författare :Axel Rehnström; [2018]
    Nyckelord :Systemidentifiering; Maskininlärning;

    Sammanfattning : Då detta skrivs (Maj 2018) står industrier på tröskeln till att genomgå sitt fjärde paradigmskifte i och med Industri 4.0. I detta paradigmskifte, som har sin grund i digitalisering av såväl befintliga som nya industrianläggningar, kommer en ny typ av underhållsarbete att möjliggöras. LÄS MER

  5. 4. Pricing Interest Rate Derivatives in a Negative Yield Environment

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Lavinia Rognone; [2017-07-26]
    Nyckelord :Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Sammanfattning : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. LÄS MER

  7. 5. Grid connected large-scale energy storage : Literature review regarding present technology and application, with a complementary case study that investigates the profitability of storage within a wind farm

    Master-uppsats, Umeå universitet/Institutionen för tillämpad fysik och elektronik

    Författare :Per Skoglund; [2017]
    Nyckelord :electrical energy storage; EES;

    Sammanfattning : In the transition from traditional power plants to more environmentally friendly alternatives will generate a need for more flexibility in production, transmission and consumption. Energy storage can be provide the flexibility that are required to continue to have a robust and stable electrical system. LÄS MER