Sökning: "FX swap models"

Hittade 3 uppsatser innehållade orden FX swap models.

1. 1. 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

3. 2. The Swap Market Model with Local Stochastic Volatility

   Master-uppsats, KTH/Matematisk statistik

   Författare :Mohammed Benmakhlouf Andaloussi; [2019]
   Nyckelord :;

   Sammanfattning : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. LÄS MER

4. 3. Forecasting High Yield Corporate Bond Industry Excess Return

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carlos Junior Lopez Vydrin; [2018]
   Nyckelord :;

   Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER