Essays about: "Constant elasticity of variance"

Found 5 essays containing the words Constant elasticity of variance.

  1. 1. Investigation of portfolio strategies by means of simulation

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Alexander Schälin; [2022-07-01]
    Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Abstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE

  3. 2. CONTINUOUS TIME PROCESSES IN TIMES OF CRISIS: THE CASE OF GBM AND CEV MODELS

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Giversen; Mohamed Bendkia; [2011]
    Keywords : Geometric Brownian Motion; GBM; Constant Elasticity of Variance; CEV; Continuous Time Processes; Financial Markets; Financial Crisis; Business and Economics;

    Abstract : This research aims at studying continuous time models within different stock market environments. We assume that the modeling of continuous time processes may be altered whether an equity market is experiencing a crisis or a pre-crisis period. READ MORE

  4. 3. Valuation of exotic options under the Constant Elasticity of Variance model by exact Monte Carlo simulation : A MATLAB GUI application

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Hayat Haseeb; Rahul Duggal; [2010]
    Keywords : ;

    Abstract : Diffusions are broadly used in mathematical finance for modeling asset prices. We consider the exact path sampling of a constant elasticity of variance diffusion model obtained from a squared Bessel process. READ MORE

  5. 4. Dynamic hedging of swaptions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emil Lauri; Alexander Milles; [2009]
    Keywords : Hedging; swaption; Black model; CEV model;

    Abstract : This thesis shows that strictly following the Black model exposes the user to unexpected risk when hedging swaptions. The results emphasize that the strike offset and time to expiry have explanatory power for the hedging performance of the Black model. READ MORE

  6. 5. Trading in the Credit Derivatives market with equity-based Credit Default Swap spreads

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Martin Nilsson; Jakob Palmstierna; [2007]
    Keywords : credit default swap; Basel II; Capital Structure Arbitrage; Probability of Default; equity-based modelling; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis gives an introduction to BASEL II and hence a motivation for the use of credit derivatives in general and Credit Default Swaps in particular. We develope (from Atlan and Leblanc (2005) and Bengtsson and Bjurhult (2006)) a model to price the CDS contracts and use this in a trading strategy - trying to find risk arbitrage. READ MORE