Sökning: "FX market"

Visar resultat 1 - 5 av 33 uppsatser innehållade orden FX market.

  1. 1. Pricing of FX products - list rates

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Emma Edvardsson; [2023]
    Nyckelord :;

    Sammanfattning : List rates is a product that provides clients with a fixed exchange rate for a fixed period of time, varying from a few minutes up to a few days. During this period, the customer can exercise trading at the fixed exchange rate multiple times. The aim of this study is to find a pricing model for List rates. LÄS MER

  3. 2. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Nyckelord :term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Sammanfattning : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. LÄS MER

  4. 3. Fractional Cointegration and Price Discovery in FX Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Johan Faxner; [2023]
    Nyckelord :exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

    Sammanfattning : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. LÄS MER

  5. 4. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ioannis Tzoumas; [2023]
    Nyckelord :ΔCoVaR; Loans; Credit; Risk; Integration; Business and Economics;

    Sammanfattning : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. LÄS MER

  7. 5. Signal detection of FX Fixing events

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för beräkningsvetenskap

    Författare :Anton Sjöström; [2022]
    Nyckelord :Machine learning; Deep learning; Trading; Time series;

    Sammanfattning : This master thesis investigates the price dynamics of two currency pairs, GBP/USD and EUR/GBP, during the event called the “London 4 PM Fix”, which is a daily event. The dynamics of this event is understood by first creating a mathematical model to find the theoretical optimal trading strategy given a number of assumptions. LÄS MER