Essays about: "derivatives inflation"

Found 4 essays containing the words derivatives inflation.

1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   University essay from Lunds universitet/Matematisk statistik

   Author : Jan Müller; [2022]
   Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

3. 2. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

   University essay from KTH/Matematisk statistik

   Author : Felix Greberg; [2020]
   Keywords : Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

   Abstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE

4. 3. Pricing Inflation Derivatives : A survey of short rate- and market models

   University essay from KTH/Matematisk statistik

   Author : Damr Tewolde Berhan; [2012]
   Keywords : ;

   Abstract : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. READ MORE

5. 4. Currency Hedging Management in Global Firms. The case of Heidelberg Cement

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Astrid Söderlund; Nils Wickelgren; Christian Andersson; [2004]
   Keywords : currency hedging; risk management; exchange rate risks; parity conditions; exposure differentials; risk attitudes; financial forecasts; legal frameworks for derivatives; Heidelberg Cement; Management of enterprises; Företagsledning; management; Business and Economics;

   Abstract : Our ever-changing world has to a great extent created a need of efficient financial risk-management programs for financial institutions and corporations operating in a demanding international environment. These changes have however also increased the types of financial tools and derivatives used to handle the multifold macroeconomic exposures. READ MORE