Sökning: "Interest rate derivatives"

Visar resultat 16 - 20 av 52 uppsatser innehållade orden Interest rate derivatives.

  1. 16. Interest Rate Volatility and its Effect on Interest Rate Options

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

    Författare :Jacqueline Eriksson; Jakob Sundblad; [2020]
    Nyckelord :Interest Rates Regimes; Volatility; Derivatives; Interest Rate Options; Asset Pricing;

    Sammanfattning : This paper replicates the study conducted by Guillaume et. al (2013) and derives a relationship between the interest rate volatility and the interest rate level for the Swedish currency (SEK). The results suggest interest rates to be divided into three different regimes consisting of low, intermediate and high rates. LÄS MER

  3. 17. Non-Linear Optimisation and Testing in the Field of Risk Management of Interest Rate Derivatives

    Master-uppsats, Uppsala universitet/Institutionen för informationsteknologi

    Författare :John Hamish Mcgregor Darbyshire; [2019]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  4. 18. X-Value Adjustments for Interest Rate Derivatives

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mehdi Belkotain; [2018]
    Nyckelord :;

    Sammanfattning : In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. LÄS MER

  5. 19. Pricing Interest Rate Derivatives in a Negative Yield Environment

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Lavinia Rognone; [2017-07-26]
    Nyckelord :Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Sammanfattning : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. LÄS MER

  7. 20. Hedging Interest Rate Derivatives (Evidence from Swaptions) in a Negative Interest Rate Environment: : A comparative analysis of Lognormal and Normal Model

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

    Författare :Shedrack Lutembeka; [2017]
    Nyckelord :;

    Sammanfattning : This thesis is about hedging interest rate derivatives in a negative interest rate environment. The main focus is on doing a comparative analysis on how risk varies between Lognormal and Normal models. LÄS MER