Sökning: "Financial Mathematics"

Visar resultat 1 - 5 av 121 uppsatser innehållade orden Financial Mathematics.

  1. 1. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Christopher Herron; André Zachrisson; [2020]
    Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER

  2. 2. Migration plan of Risky Total Return Swap to Bond Return Swap

    Master-uppsats, KTH/Matematisk statistik

    Författare :Louis Maziere; [2020]
    Nyckelord :Total Return Swap; applied mathematics; financial mathematics; Total Return Swap; applied mathematics; financial mathematics;

    Sammanfattning : Since the 2008 crisis, the hedging instruments have gained popularity with financial institutions. This is the case of the total return swap that is used today by major institutions like Goldman Sachs or J.P. Morgan. LÄS MER

  3. 3. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Danny Zina; [2020]
    Nyckelord :Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Sammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER

  4. 4. Synthesis of Tabular Financial Data using Generative Adversarial Networks

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Anton Karlsson; Torbjörn Sjöberg; [2020]
    Nyckelord :Generative Adversarial Networks; GAN; Generative Modeling; Tabular data; Financial data; Machine Learning; Statistical learning; Applied Mathematics; GANs; Generativa modeller; Tabulär data; Finansdata; Maskininlärning; Statistisk inlärning; Tillämpad Matematik;

    Sammanfattning : Digitalization has led to tons of available customer data and possibilities for data-driven innovation. However, the data needs to be handled carefully to protect the privacy of the customers. Generative Adversarial Networks (GANs) are a promising recent development in generative modeling. LÄS MER

  5. 5. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Hilmersson; [2020]
    Nyckelord :Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Sammanfattning : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. LÄS MER