Essays about: "Fredrik Gerdin Börjesson"

Found 2 essays containing the words Fredrik Gerdin Börjesson.

1. 1. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

3. 2. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Fredrik Gerdin Börjesson; [2021]
   Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

   Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE