Sökning: "Interest rate derivatives"

Visar resultat 6 - 10 av 52 uppsatser innehållade orden Interest rate derivatives.

1. 6. Improving term structure measurements by incorporating steps in a multiple yield curve framework

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Gustav Villwock; Clara Rydholm; [2022]
   Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

   Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER

3. 7. Predicting Financial Trader Participation in Fixing Risk Mitigation Cycles : A Machine Learning Approach

   Master-uppsats, KTH/Matematisk statistik

   Författare :Eric Bojs; [2022]
   Nyckelord :;

   Sammanfattning : Financial markets have been crucial in driving capital investments across the world. Anessential piece of these markets is the presence of risk takers, or market speculators, who will hold financial portfolios in hopes of profit. LÄS MER

4. 8. 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

5. 9. 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

7. 10. Ränteswappar i svenska fastighetsbolag : en kvalitativ studie som diskuterar hur användandet av ränteswappar ser ut idag bland svenska fastighetsbolag

   Kandidat-uppsats, KTH/Fastigheter och byggande

   Författare :Dino Hasic; Ajdin Pasic; [2021]
   Nyckelord :Financial instruments; real estate companies; interest rate derivatives; interest rate swaps; interest rate risk management; financing of real estate; Finansiella instrument; fastighetsbolag; räntederivat; ränteswap; ränteriskhantering; fastighetsfinansiering;

   Sammanfattning : Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. LÄS MER