Sökning: "Oskar Kallur"

Hittade 2 uppsatser innehållade orden Oskar Kallur.

1. 1. On the use of Value-at-Risk based models for the Fixed Income market as a risk measure for Central Counterparty clearing

   Master-uppsats, KTH/Matematisk statistik

   Författare :Oskar Kallur; [2016]
   Nyckelord :;

   Sammanfattning : In this thesis the use of VaR based models are investigated for the purpose of setting margin requirements for Fixed Income portfolios. VaR based models has become one of the standard ways for Central Counterparties to determine the margin requirements for different types of portfolios. LÄS MER

3. 2. AN INTRODUCTION TO MERTON'S PORTFOLIO PROBLEM

   Kandidat-uppsats, KTH/Matematik (Inst.)

   Författare :Daniel Isaksson; Oskar Kallur; [2014]
   Nyckelord :;

   Sammanfattning :   In financial mathematics, Merton's portfolio problem is a statement of an investor's problem to allocate his wealth between risk-free and risky assets as to optimize the growth. The purpose of this report is to introduce and explain the fundamental terms and mathematics included in the problem. LÄS MER