Essays about: "Contingent Hedge"

Found 3 essays containing the words Contingent Hedge.

  1. 1. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

  3. 2. Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Petter Damberg; Alexander Gullnäs; [2012]
    Keywords : Interest rate derivatives; Term structure models; Black Derman Toy; Option pricing; Binomial trees; Term structure of interest rates;

    Abstract : The market for interest rate derivatives has in recent decades grown considerably and the need for proper valuation models has increased. Interest rate derivatives are instruments that in some way are contingent on interest rates such as bonds and swaps and most financial transactions are in some way exposed to interest rate risk. READ MORE

  4. 3. Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios

    University essay from IHH, Företagsekonomi

    Author : Victor Karlsson; Rikard Svensson; Viktor Eklöf; [2012]
    Keywords : Finance; Modern Portfolio Theory; Product Portfolios; Black-Litterman; Efficient Frontier; Investment Decisions; Commodities; Hedging; Risk Management; Contingent Hedge; Diversification; Risk Minimization; Return Optimization; Mining; Metals;

    Abstract : In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. READ MORE