Sökning: "Derivat"

Visar resultat 1 - 5 av 108 uppsatser innehållade ordet Derivat.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lucas Fageräng; Hugo Thoursie; [2023]
    Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

  3. 2. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Johan Luhr; [2023]
    Nyckelord :Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. 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. The Predictive Power of Implied Volatility in Option Pricing

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lovisa Berglund; [2023]
    Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

  7. 5. När lönar det sig att valutasäkra? : En kvantitativ studie om sambandet mellan makrofaktorer och valutaderivat

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Linnéa Hettemark; Josefin Adolfsson; [2023]
    Nyckelord :Hedging; Valutaexponering; Valutaderivat; BNP; Inflation; Konjunktur;

    Sammanfattning : I takt med den alltmer ökade globaliseringen och svenska företag som intar internationella marknader har även riskerna för valutaexponeringar ökat. Företag som har in- och utgående transaktioner i utländsk valuta utsätts för transaktionsexponeringar då växelkurserna kan fluktuera i ogynnsam riktning mellan tidpunkten avtalet ingås tills att det ska regleras. LÄS MER