Sökning: "Interest rate derivatives"

Visar resultat 21 - 25 av 52 uppsatser innehållade orden Interest rate derivatives.

  1. 21. Real Estate Financing and Interest Rate Hedging : A quantitative real estate investment case study

    Master-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Wimjan van de Wiel; Felix Kristopher Bock; [2017]
    Nyckelord :Derivatives; Financing; Hedging; Interest Rate Risk; Monte Carlo Simulation; Real Estate Investment;

    Sammanfattning : Background: The expansive monetary policy of the European Central Bank has been leading to all-time-low interest rates and to a strong move into real estate investment. Low interest rates can work in favor of the investor (due to low interest rate expenditures), but increasing interest rates can jeopardize real estate investments. LÄS MER

  3. 22. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Johan Gustavsson; [2017]
    Nyckelord :OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Sammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER

  4. 23. Central Counterparties. A Numerical Implementation of the Default Waterfall

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Nyckelord :Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Sammanfattning : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. LÄS MER

  5. 24. Exposure At Default During Financial Stress - A Comparative Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Susanna Haglund; Julia Ripa; [2016]
    Nyckelord :Exposure At Default; EAD; Interest Rate Swap; Kalman Filter; Monte Carlo; Real World Probability Measure; Risk Neutral Probability Measure; Vasicek Model.; Mathematics and Statistics;

    Sammanfattning : In recent years the capital requirements for banks have been updated which has complicated the pricing procedure for derivatives. Nordea has developed a proxy model that approximates the risk measure Exposure At Default, which is an important component in the recently updated requirements. LÄS MER

  7. 25. Swaption pricing under the single Hull White model through the analytical formula and Finite Difference Methods

    Master-uppsats, Mälardalens högskola/Utbildningsvetenskap och Matematik

    Författare :Victor Lopez Lopez; [2016]
    Nyckelord :Hull White; Swaptions; Negative interest rates; Crank-Nicolson;

    Sammanfattning : Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data so it can be used to price interest rate derivatives. LÄS MER