Essays about: "Equity Derivative Model"

Showing result 1 - 5 of 8 essays containing the words Equity Derivative Model.

1. 1. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

3. 2. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk

   University essay from KTH/Matematisk statistik

   Author : Karl Larsson; [2020]
   Keywords : Extension Risk; AT1; CoCo; Contingent Convertible; Bonds; Valuation; Financial Mathematics; Hybrid Capital; Förlängningsrisk; AT1; CoCo; Contingent Convertible; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

   Abstract : The investment and financing instrument AT1, or Contingent Convertible bond, has become popular in the post-crisis capital markets, prompting interest and research in the academic world. The instrument's debt definition but equity boosting properties makes it rather extraordinary, and its stochastic features makes multiple mathematical valuation methodologies relevant, especially with regard to the risk of extending the call date of the instrument. READ MORE

4. 3. The Swap Market Model with Local Stochastic Volatility

   University essay from KTH/Matematisk statistik

   Author : Mohammed Benmakhlouf Andaloussi; [2019]
   Keywords : ;

   Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE

5. 4. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Oscar Britse; Johan Jarnmo; [2018]
   Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

   Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

6. 5. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

   University essay from Göteborgs universitet/Graduate School

   Author : Giulia Cesaroni; [2017-07-25]
   Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

   Abstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE