Sökning: "Henrik Brunlid"

Hittade 2 uppsatser innehållade orden Henrik Brunlid.

1. 1. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henrik Brunlid; [2007]
   Nyckelord :credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. LÄS MER

3. 2. Replication strategies of derivatives under proportional transaction costs - An extension to the Boyle and Vorst model

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henrik Brunlid; [2005]
   Nyckelord :transaction costs; replicating portfolio; option pricing; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : When we introduce transaction costs the perfect Black and Scholes hedge, consisting of the underlying stock and a risk free asset, becomes infinitely expensive. By loosening the pure arbitrage argument and only considering the expected transaction costs, one can find an upper bound on the price of an option. LÄS MER