Essays about: "Hedging"

Showing result 1 - 5 of 140 essays containing the word Hedging.

  1. 1. Hedging Interest Rate Swaps

    University essay from KTH/Matematisk statistik

    Author : Lovisa Jangenstål; [2015]
    Keywords : ;

    Abstract : This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. READ MORE

  2. 2. Evaluation of Hedging Strategies of Asian Options on Electricity at Nord Pool

    University essay from KTH/Matematisk statistik

    Author : Ella Zackrisson; [2015]
    Keywords : Hedging strategies; Asian Options; Electricity;

    Abstract : This thesis empirically evaluates a geometric Brownian motion and a stochastic volatility model for modeling futures prices and hedging Asian call options on the electricity spot price. Estimation of parameters for the models is done based on historical futures prices of futures contracts with a one month delivery period using nonlinear regression and Maximum Likelihood techniques. READ MORE

  3. 3. Optimization of hydro power on the Nordic electricity exchange using financial derivatives

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Viktor Enoksson; Fredrik Svedberg; [2015]
    Keywords : Optimization; hydro power; linear programming; stochastic programming; scenario construction; stochastic inflow modeling; financial derivatives on electricity.;

    Abstract : Since the deregulation of the Nordic electricity market in 1996, electricity has become one of the most traded commodities in the Nordic region. The electricity price is characterized by large fluctuations as the supply and demand of electricity are seasonally dependent. READ MORE

  4. 4. Analysis of Hedging Strategies for Hydro Power on the Nordic Power Market

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Patrik Gunnvald; Viktor Joelsson; [2015]
    Keywords : ;

    Abstract : Hydro power is the largest source for generation of electricity in the Nordic region today.This production is heavily dependent on the weather since it dictates the terms for the availability and the amount of power to be produced. READ MORE

  5. 5. Corporate Cash Holdings and the Refinancing Risk of Bank Debt and Non-Bank Debt

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andreas Joha; Tomas Neumüller; [2015]
    Keywords : Debt financing; Cash holdings; Capital structure; Bank lending; Refinancing risk;

    Abstract : We empirically examine the relationship between a firm's debt composition and refinancing risk. In particular, we analyze the effects of non-bank debt on refinancing risk as the existing literature shows that both the ex-ante and ex-post costs of refinancing problems are higher for non-bank debt than for bank debt. READ MORE