Sökning: "FX-swap"

Hittade 3 uppsatser innehållade ordet FX-swap.

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. Hedging of a foreign exchange swapbook using Stochastic programming

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Emma Bohlin; Jonatan Harling; [2021]
   Nyckelord :term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

   Sammanfattning : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. LÄS MER

4. 3. Currency Basis Swap Valuation : Theory & Practise

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Josef Larsson; [2017]
   Nyckelord :Currency Basis Swap; Valuation; FX-swap;

   Sammanfattning : Banks finance their operations in several ways, by shareholders equity, receiving deposits from customers and by borrowing from investors and other financial institutions. One widely used approach is to issue a bond. Bonds issued on the foreign capital markets is a way to increase the financing options and mitigate risk exposure. LÄS MER