Sökning: "Interest Rate Hedging"

Visar resultat 1 - 5 av 40 uppsatser innehållade orden Interest Rate Hedging.

  1. 1. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Abigail Hailu Berta; [2022]
    Nyckelord :Backward stochastic differential equations BSDEs ; Markovian BSDEs; Least square Monte Carlo method; Deep BSDE method; Nonlinear option pricing and hedging problems; Pricing and hedging in high dimensions.;

    Sammanfattning : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. LÄS MER

  2. 2. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Joel Forsberg; [2022]
    Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

    Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER

  3. 3. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

  4. 4. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  5. 5. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Rickard Nordin; Emil Mårtensson; [2021]
    Nyckelord :Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Sammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER