Essays about: "Hedging"

Showing result 1 - 5 of 90 essays containing the word Hedging.

  1. 1. Impact of German Renewable Energies on the Spot Prices of the French-German Electricity Markets

    University essay from KTH/Elektriska energisystem

    Author : Bich-Thuy Doan; [2013]
    Keywords : ;

    Abstract : Thanks to growing environmental concerns, renewable energies take a higher andhigher share of electricity generating portfolios. In Germany particularly, the installedcapacity of wind and solar plants has increased continuously for the past ten years. READ MORE

  3. 2. Hedging under Parameter Uncertainty

    University essay from Lunds universitet/Matematisk statistik

    Author : Eugene Agyeman-Prempeh; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : In this thesis, the impact of unknown parameter estimation in the caseof the volatility parameter in theBlack-Scholes model on hedging is investigated.The objective is to develop a systematic and robust model of hedging tochallenge the conventional delta andimproved mean-variance hedge, and hopefully improve upon risk assessmentvalues. READ MORE

  4. 3. Simultaneous Calibration and Hedging of Options

    University essay from Lunds universitet/Matematisk statistik

    Author : Jingyi Guo; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : .... READ MORE

  5. 4. Foreign Currency Denominated Debt as a Hedging Instrument - A Case Study on AstraZeneca Ltd, Nestl´e S.A. and SKF AB

    University essay from Göteborgs universitet/Graduate School

    Author : Andreas Karlsson; Per Palm; [2012-07-25]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  6. 5. Option Pricing for Continuous-Time Log-Normal Mixtures

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Joakim Björnander; [2012-06-08]
    Keywords : Option pricing; hedging; local volatility; mixture dynamics; mixture of log-normals; Black-Scholes;

    Abstract : In this thesis we study the log-normal mixture option pricing model proposedby Brigo and Mercurio [1]. This model is of particular interest since it isan analytically tractable generalization of the Black-Scholes option pricingmodel, but essentially of the same degree of complexity when it comes tocomputing option prices and hedging. READ MORE