Essays about: "derivatives futures"

Showing result 6 - 10 of 17 essays containing the words derivatives futures.

  1. 6. Commodity Futures Investing from a Swedish Pension Fund Perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Linn Nilsson; Tilda Wikström; [2016-10-07]
    Keywords : commodity futures; pension funds; AP-funds; portfolio efficiency; intersection-test; mean-variance spanning test; DCC GARCH;

    Abstract : Our study examines if the Swedish General Pension funds (AP-funds) could benefit from investing in commodity futures derivatives, which they are currently prohibited from. The effect of adding commodity futures to the holdings of the AP-funds is examined during the period 2001 to 2015, with extended analyses on accumulated bull and bear periods. READ MORE

  3. 7. DVA in the Structured Notes Issuance Portfolio

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sebastian Sohl; [2016]
    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

  4. 8. Pricing of CO2 Emission Allowance Derivatives

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Göransson; Sebastian Berggren; [2016]
    Keywords : CO2; EUA; GARCH; JUMP-DIFFUSION;

    Abstract : The aim of this paper is to analyse the pricing of carbon emission allowance futures and futures options to see how they can help us understand the intuition behind spot prices of the underlying emission allowance. We use data from the third time period within the European Union Emissions Trading Scheme. READ MORE

  5. 9. Swedish dairy farmers’ interest in using price risk management tools : a study of correlating factors

    University essay from SLU/Dept. of Economics

    Author : Julia Andersson; Ankie Hilmerby; Anna Sundin Lundberg; [2014]
    Keywords : Dairy; derivatives; factors; farmer; forwards contract; futures contract; hedging; interest; questionnaire; risk; risk management tools;

    Abstract : The dairy market will change importantly in the coming years. The quota system, which has regulated the European dairy production, will disappear in 2015 and the European dairy market will then be importantly affected by the volatility characterizing the dynamic of world prices. READ MORE

  6. 10. Energy Derivatives Pricing

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Irina Prostakova; Alexander Tazov; [2011]
    Keywords : Financial Mathematics; Option; Energy derivative pricing;

    Abstract : In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. READ MORE