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Showing result 1 - 5 of 7 essays matching the above criteria.

  1. 1. The Impact of Financial Advisors on Risk Arbitrage Spreads: Evidence from Nordic Takeover Bids

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustav Berg; Erik Johansson; [2020]
    Keywords : Financial Advisors; Mergers and Acquisitions; Risk Arbitrage; Arbitrage Spreads;

    Abstract : Following the announcement of a public takeover bid, the target firm's stock price generally adjusts towards the offer price. However, these rarely converge, and the percentage difference that emerges forms what is commonly referred to as the risk arbitrage spread. READ MORE

  3. 2. Corporate Bond Yield Spreads: A Search-based Sentiment Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Pettersson; Christoffer Sjöström; [2016]
    Keywords : Investor sentiment; Corporate bonds; Yield spreads; Mispricing; Reversal trends;

    Abstract : This study examines the effect of investor sentiment, as measured by internet search activity, on corporate bond yield spreads. Specifically, we predict systematic reversal patterns as a result of sentiment-induced mispricing: In pessimistic regimes bonds appear underpriced with higher yields than indicated by fundamental values. READ MORE

  4. 3. Local Volatility Calibration on the Foreign Currency Option Market

    University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Author : Markus Falck; [2014]
    Keywords : FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Abstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE

  5. 4. RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT SWAP AND STOCK MARKETS- The Case of East Asia     

    University essay from Företagsekonomi; Handelshögskolan vid Umeå universitet (USBE)

    Author : Serkalem Tilahun Basazinew; Aliaksandra Vashkevich; [2013]
    Keywords : sovereign credit risk; credit default swap; stock index; Merton model; price discovery; capital structure arbitrage; emerging market.;

    Abstract : When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. READ MORE

  6. 5. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE