Sökning: "Fair Value Hedging"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Fair Value Hedging.

  1. 1. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Victoria Beschorner; Julius Mehl; [2021]
    Nyckelord :Interest Rate Risk Management; Interest Rate Hedging; Interest Rate Derivatives; Cash Flow Hedging; Fair Value Hedging;

    Sammanfattning : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. LÄS MER

  2. 2. Deep Learning and the Heston Model:Calibration & Hedging

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. LÄS MER

  3. 3. Extracting volatility smiles from historical spot data

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Emil Larsson; [2017]
    Nyckelord :Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Sammanfattning : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. LÄS MER

  4. 4. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

    Master-uppsats, KTH/Matematisk statistik

    Författare :Martin Hellander; [2015]
    Nyckelord :OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

    Sammanfattning : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. LÄS MER

  5. 5. The value relevance of comprehensive income

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Författare :Elena Ringström; Jörgen Ekström; [2012]
    Nyckelord :Value relevance; Comprehensive income; Components of other comprehensive income; Revised IAS 1; Fair value;

    Sammanfattning : In this study, we look at the effects of the adoption of the revised IAS 1 rules, which has been in effect since January 1, 2009. The revised IAS 1 requires that all changes in equity, excluding changes in equity arising from transactions with owners, should be recognized in comprehensive income statement. LÄS MER