Sökning: "Finansiella Derivat"
Visar resultat 1 - 5 av 42 uppsatser innehållade orden Finansiella Derivat.
1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER
2. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER
3. The Predictive Power of Implied Volatility in Option Pricing
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER
4. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures
Master-uppsats, Lunds universitet/Institutionen för energivetenskaperSammanfattning : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. LÄS MER
5. Monte Carlo- och Kvasi-Monte Carlo-metoders konvergens i högdimensionella problem : Rosenbrocks testfunktion och prissättning av finansiella derivat
Kandidat-uppsats, Uppsala universitet/Institutionen för materialvetenskapSammanfattning : Denna rapport är skriven som en del av ett kandidatarbete inom civilingenjörsprogrammet i teknisk fysik på Uppsala universitet, vårterminen 2022. Målet med arbetet var att jämföra två olika matematiska verktyg, Monte Carlo- och Kvasi-Monte Carlo-metoder och se vilken ut av dessa som var effektivast när det kommer till att beräkna svårlösta integraler. LÄS MER