Sökning: "LIBOR Market Model"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden LIBOR Market Model.

  1. 1. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

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

    Författare :Rostislav Sibirtsev; [2019]
    Nyckelord :Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Sammanfattning : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. LÄS MER

  3. 2. Pricing of a balance sheet option limited by a minimum solvency boundary

    Master-uppsats, KTH/Matematisk statistik

    Författare :Josefine Bofeldt; Sara Joon; [2019]
    Nyckelord :;

    Sammanfattning : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. LÄS MER

  4. 3. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Nicklas Rehnby; [2017]
    Nyckelord :option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER

  5. 4. An Introduction to Modern Pricing of Interest Rate Derivatives

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

    Författare :Hossein Nohrouzian; [2015]
    Nyckelord :Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Sammanfattning : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. LÄS MER

  7. 5. Efficient Sensitivity Analysis using Algorithmic  Differentiation in Financial Applications

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ludvig Lamm; Erik Sunnegårdh; [2015]
    Nyckelord :;

    Sammanfattning : One of the most essential tasks of a financial institution is to keep the financial risk the institution is facing down to an acceptable level. This risk can for example be incurred due to bought or sold financial contracts, however, it can usually be dealt with using some kind of hedging technique. LÄS MER