Essays about: "FX swap models"
Found 3 essays containing the words FX swap models.
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1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE
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2. The Swap Market Model with Local Stochastic Volatility
University essay from KTH/Matematisk statistikAbstract : 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
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3. Forecasting High Yield Corporate Bond Industry Excess Return
University essay from KTH/Matematisk statistikAbstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE
