Essays about: "Hedging"

Showing result 1 - 5 of 162 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. Determinants of Exchange Rate Risks in the Automotive Industry

    University essay from Göteborgs universitet/Graduate School

    Author : Daria Pilat; [2016-10-14]
    Keywords : determinants of foreign currency exposure; currency risk hedging; automotive industry;

    Abstract : MSc in International Business and Trade.... READ MORE

  5. 5. Performance of hedge fund strategies in bull and bear markets

    University essay from

    Author : Emil Johnsson; Jesper Karlsson; [2016-07-06]
    Keywords : Financial Markets; Hedge Funds; Hedging; Institutional Investors; Rate of Return Analysis; Risk Hedging; Risk Return;

    Abstract : Hedge funds use a wide variety of investment styles, although many people have the perception that they are a relatively homogenous group with similar strategies to generate returns. Understanding the differences in the risk and return structure of hedge fund strategiesis crucial to making a good investment decision. READ MORE