Essays about: "Alexander Milles"
Found 1 essay containing the words Alexander Milles.
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1. Dynamic hedging of swaptions
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis shows that strictly following the Black model exposes the user to unexpected risk when hedging swaptions. The results emphasize that the strike offset and time to expiry have explanatory power for the hedging performance of the Black model. READ MORE
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