Sökning: "Risk-neutral probability"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Risk-neutral probability.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lucas Fageräng; Hugo Thoursie; [2023]
    Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

  3. 2. Volatility Curves of Incomplete Markets

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kateryna Chechelnytska; [2020-06-23]
    Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Sammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER

  4. 3. On the Proxy Modelling of Risk-Neutral Default Probabilities

    Master-uppsats, KTH/Matematisk statistik

    Författare :Edvin Lundström; [2020]
    Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER

  5. 4. Option Pricing using the Fast Fourier Transform Method

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

    Författare :Abaynesh Berta; [2020]
    Nyckelord :Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Sammanfattning : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. LÄS MER

  7. 5. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Teemu Mäkiaho; Henri Rikhard Kiviniemi; [2019]
    Nyckelord :M A; Default Risk; Merton Model; Probability of Default; Distance-to-Default; Financial Sector; Business and Economics;

    Sammanfattning : The purpose of this paper is to examine the impact of mergers and acquisitions on the default risk of acquiring companies. The sample consists of 276 transactions carried out between 2010 and 2018 by acquirers from Western European financial sector. LÄS MER