Sökning: "Foreign exchange sensitivity"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Foreign exchange sensitivity.

  1. 1. Anticipated Events’ Impact on FX Options’ Implied Volatility

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Frej Håkansson; Björn Nilsson; [2018]
    Nyckelord :Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

    Sammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER

  3. 2. Exchange rate sensitivity - a study of stock price sensitivity to unexpected changes in the EUR/SEK exchange rate

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Adam Lidén; Hampus Asphage; [2014]
    Nyckelord :Foreign exchange risk; Asset pricing; Foreign exchange sensitivity; International CAPM; Business and Economics;

    Sammanfattning : Purpose: To investigate if there is a significant stock price sensitivity towards the currency pair for portfolios of Swedish companies and how this sensitivity differs between sectors, firm size and foreign to total sales ratios. Methodology: Use orthogonalized unexpected movements in a market index and the exchange rate and regress these on portfolio returns sorted by sector, firm size and foreign to total sales ratios. LÄS MER

  4. 3. The relationship between carry trade currencies and equity markets, during the 2003-2012 time period

    Magister-uppsats, Företagsekonomi

    Författare :Andrei Dumitrescu; Antti Tuovila; [2013]
    Nyckelord :carry trade; correlation; currency; equity indexes; financial crisis; foreign exchange; risk premia; uncovered interest parity; volatility; S P 500; FTSE All-World; VIX;

    Sammanfattning : One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equity indexes on several pairs involved in carry trading. LÄS MER

  5. 4. Environmental and socioeconomic assessment of rice straw conversion to ethanol in Indonesia : The case of Bali

    Master-uppsats, KTH/Energi och klimatstudier, ECS

    Författare :Victor Samuel; [2013]
    Nyckelord :rice straw-to-ethanol conversion; second-generation biofuel; employment creation; lifecycle GHG reduction;

    Sammanfattning : The vast rice production in some developing Asian countries like Indonesia raises expectation on poverty alleviation and energy diversification through second generation biofuel production from rice residues, specifically rice straw. This work attempts to estimate the potential environmental and socioeconomic benefits of rice straw-to-ethanol project in Indonesia. LÄS MER

  7. 5. The relationship between weeklyexchange rate movements and stockreturns: Empirical evidence in five Asian markets

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Mingjie Wen; Tang Tang; [2010]
    Nyckelord :exchange rate movement; stock price; exchange rate and stock return; foreign exchange rate exposure; Asian markets.;

    Sammanfattning : Following the development of international trade, exchange rate uncertainty is a majorsource of risk for corporations involved in international activities. It has forcedmanagers and academics to pay more attention to the effect of exchange rate volatilityon firm value, particularly in developed countries. LÄS MER