Sökning: "Interest Rate Derivatives"

Visar resultat 11 - 15 av 52 uppsatser innehållade orden Interest Rate Derivatives.

  1. 11. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Victoria Beschorner; Julius Mehl; [2021]
    Nyckelord :Interest Rate Risk Management; Interest Rate Hedging; Interest Rate Derivatives; Cash Flow Hedging; Fair Value Hedging;

    Sammanfattning : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. LÄS MER

  3. 12. Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Tillämpad matematik och statistik

    Författare :Niclas Samuelsson; [2021]
    Nyckelord :fixed income; interest rate derivatives; swaption; cap;

    Sammanfattning : Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. LÄS MER

  4. 13. Pricing of Interest Rate Derivatives under the Cheyette model

    Master-uppsats, Uppsala universitet/Tillämpad matematik och statistik

    Författare :Dayton Nyamai; [2020]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 14. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Julia Larsson; [2020]
    Nyckelord :;

    Sammanfattning : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. LÄS MER

  7. 15. Backtesting of simulated method for Counterparty Credit Risk

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Love Lundström; Oscar Öhman; [2020]
    Nyckelord :Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

    Sammanfattning : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. LÄS MER