Sökning: "Vega Hedging"

Hittade 5 uppsatser innehållade orden Vega Hedging.

  1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Albin Irell Fridlund; Johanna Heberlein; [2023]
    Nyckelord :Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Sammanfattning : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. LÄS MER

  3. 2. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Joel Forsberg; [2022]
    Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

    Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER

  4. 3. Hedging Interest Rate Derivatives (Evidence from Swaptions) in a Negative Interest Rate Environment: : A comparative analysis of Lognormal and Normal Model

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

    Författare :Shedrack Lutembeka; [2017]
    Nyckelord :;

    Sammanfattning : This thesis is about hedging interest rate derivatives in a negative interest rate environment. The main focus is on doing a comparative analysis on how risk varies between Lognormal and Normal models. LÄS MER

  5. 4. Calculating sensitivities in the SABR/LIBOR market model for European swaptions

    Master-uppsats, Institutionen för fysik

    Författare :Moa Hållberg; [2012]
    Nyckelord :Swaptions; market model; SABR; LIBOR; SABR LIBOR; Sensitivities; Greeks; Vega; Vomma; Volatility smile;

    Sammanfattning : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. LÄS MER

  7. 5. Optimal Hedging Strategies for OMX Option Portfolios: A Study of Different Strategies for Option Hedging Using the Greeks

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

    Författare :Magnus Grape; Malin Hedman; [2006]
    Nyckelord :Option; Hedging; OMX; The Greeks; Black 76;

    Sammanfattning : The option markets have developed substantially during the past decades ever since the construction of a pricing model for options. After the model had been constructed tools for hedging were gradually developed, usually collectively referred to as the Greeks. LÄS MER