Essays about: "Vega Hedging"
Found 5 essays containing the words Vega Hedging.
-
1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
-
2. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
University essay from Umeå universitet/Institutionen för fysikAbstract : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. READ MORE
-
3. 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 kommunikationAbstract : 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 Lognormal and Normal models. READ MORE
-
4. Calculating sensitivities in the SABR/LIBOR market model for European swaptions
University essay from Institutionen för fysikAbstract : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. READ MORE
-
5. Optimal Hedging Strategies for OMX Option Portfolios: A Study of Different Strategies for Option Hedging Using the Greeks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The option markets have developed substantially during the past decades ever since the construction of a pricing model for options. After the model had been constructed tools for hedging were gradually developed, usually collectively referred to as the Greeks. READ MORE