Essays about: "Hedging"

Showing result 1 - 5 of 164 essays containing the word Hedging.

  1. 1. Hedging Interest Rate Derivatives (Evidence from Swaptions) in a Negative Interest Rate Environment: : A comparative analysis of Lognormal and Normal Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Shedrack Lutembeka; [2017]
    Keywords : ;

    Abstract : This thesis is about hedging interest rate derivatives in a negative interest rate environment.The main focus is on doing a comparative analysis on how risk varies between Lognormaland Normal models. READ MORE

  2. 2. DVA in the Structured Notes Issuance Portfolio

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sebastian Sohl; [2017]
    Keywords : xVA; DVA; Structured Notes;

    Abstract : This thesis focus on the issuer credit risk in financial derivatives held by a structured notes desk. Post-crisis derivative valuation includes valuation adjustments for credit, collateral and funding risk, commonly referred to as xVA. READ MORE

  3. 3. Extracting volatility smiles from historical spot data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Larsson; [2017]
    Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

  4. 4. On Dynamic Risk Management - Investigating the Theory of Collateral Constraints

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Linus Bladlund; Erik Andersson; [2017]
    Keywords : Collateral; Financial Constraints; Oil and Gas Industry; Risk Management; Business and Economics;

    Abstract : This paper investigates the theory of collateral constraints developed by Rampini, Sufi, and Viswanathan in their paper Dynamic Risk Management published in 2014. In this theoretical framework, firms are faced with a trade-off between using scarce cash holdings to finance investments and engaging in risk management. READ MORE

  5. 5. Currency Exposure and Hedging Strategies for Limited Partners Investing in Private Equity

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Caroline Holtsjö; Carl Åkerlind; [2017]
    Keywords : Currency Exposure; Hedging; Private Equity; Limited Partners; Foreign Exchange Rates;

    Abstract : This paper sets out to examine how limited partners investing in private equity should define currency exposure and whether they should hedge it or not. To our knowledge, no previous research has investigated this field. The subject is important since foreign investments in private equity are increasing. READ MORE