Essays about: "market hedges"

Showing result 1 - 5 of 8 essays containing the words market hedges.

  1. 1. Unexpected Inflation and the Stock Market: A revisit of a long-forgotten enigma

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Andreas Danielsson; Jiayu Li; [2022]
    Keywords : Inflation; Unexpected inflation; Inflation hedge; Stock market; Valuation;

    Abstract : As inflation has reached 40-year highs in the U.S., there is a new opportunity to revisit the relationship between the stock market and inflation. We first develop a theoretical valuation model based on a typical S&P 500 stock to benchmark the intrinsic value change one can expect when inflation increases by one percentage point. READ MORE

  3. 2. The Rise of Cryptocurrencies as an Investment Hedge. The Shift from Traditional Investment Hedges: Can Cryptocurrencies Replace Bonds as an Investment Hedge?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Nichawan Thamrongsak; Mia Varis; [2021]
    Keywords : Cryptocurrency; Hedging; DCC-GARCH; US Treasury Yields; S P 500; MSCI World Index; Business and Economics;

    Abstract : This thesis uses a dynamic conditional correlation (DCC) model to investigate the correlation between major cryptocurrencies, US government bonds and the S&P 500 and MSCI World indices in order to establish the hedge, safe haven and diversifier properties of cryptocurrencies. While US Treasuries have exhibited negative correlation and hedging properties against equity risk for decades, recent extreme market conditions have caused investors to look for alternative asset classes for hedging. READ MORE

  4. 3. Assets as hedges against the inflation rate

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gabriella Bergström; Yun Zhou; [2016]
    Keywords : Inflation; asset returns; hedging; Fisher hypothesis;

    Abstract : This paper investigates, using Swedish data from 1996 to 2016, the possibilities to use different investment assets to hedge against the expected and unexpected inflation rates. With the use of time series regressions, we find that treasury bills have the potential to be good hedges against the expected inflation rate, and that real estate could be a good hedge against the unexpected inflation rate. READ MORE

  5. 4. 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

  6. 5. Pricing and Hedging of Swing Options in the European Electricity and Gas Markets

    University essay from Lunds universitet/Matematisk statistik

    Author : John Hedestig; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : This report outlines a method to price and hedge a generalized swing option based on the European natural gas and electricity markets. The method is model free in that is does not assume a certain spot price dynamics. It only requires a forward curve and European call options prices that cover the delivery period of the swing option. READ MORE