Avancerad sökning

Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. Investigation of portfolio strategies by means of simulation

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Alexander Schälin; [2022-07-01]
   Nyckelord :Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

   Sammanfattning : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. LÄS MER

3. 2. Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)

   Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

   Författare :Petter Damberg; Alexander Gullnäs; [2012]
   Nyckelord :Interest rate derivatives; Term structure models; Black Derman Toy; Option pricing; Binomial trees; Term structure of interest rates;

   Sammanfattning : The market for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has increased. Interest rate derivatives are instruments that in some way are contingent on interest rates such as bonds and swaps and most financial transactions are in some way exposed to interest rate risk. LÄS MER