Sökning: "Hull White"
Visar resultat 16 - 20 av 20 uppsatser innehållade orden Hull White.
16. On the Pricing of Credit Default Swaps: A comparative Study between the Reduced-Form Model and the Structural Model
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper focuses on measurement methods of credit risk. By modeling credit default swap spreads and predicting possible defaults of corporations with the use of default probabilities this paper makes the search for consistent methods to measure and manage risk by constructing plausible forecasts of contingent corporate defaults. LÄS MER
17. An Application of the Hull-White Model on CDS Spread Pricing
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This study illustrates in detail the Hull and White reduced-from model for pricing CDS spreads and applied the model to real bond data. Following the assumption of the model, that the yield spread between a defaultable bond and a default-free bond only captures the probability of default, we aim at calculating a number of static CDS spread. LÄS MER
18. Stochastic Volatility Models in Option Pricing
Magister-uppsats, Institutionen för matematik och fysikSammanfattning : In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. LÄS MER
19. Modeling and monitoring of the price process of Credit Default Swaps
Magister-uppsats, Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Sammanfattning : Credit derivatives are very popular on financial markets in recent days. The most liquid credit derivative is a credit default swap (CDS). In this research we investigate methods for modeling and monitoring of the price process of CDS. We study Hull and White model to calculate CDS spread and have data for our analysis. LÄS MER
20. Samband mellan hull, underhudsfett, levande vikt och fruktsamhet hos SRB och SLB
L3-uppsats, SLU/Dept. of Animal Breeding and GeneticsSammanfattning : After parturition the energy demand for milk production is greater then the energy provided from the diet. The cow mobilises therefore body tissues to compensate for the energy loss. Live weight and body condition scores decreases as a consequence of the mobilisation. LÄS MER