Essays about: "Bond pricing"

Showing result 1 - 5 of 57 essays containing the words Bond pricing.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   University essay from Göteborgs universitet/Graduate School

   Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

   University essay from KTH/Matematik (Avd.)

   Author : Benjamin Neander; Victor Mattson; [2023]
   Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

   Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

4. 3. The Green Premium : a study of the pricing of green bonds on the Swedish bond market

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Kevin Molnár; Ahmad Zaryab; [2023]
   Keywords : green premium; bond pricing; green bonds; credit ratings; green certification; Sweden; secondary market;

   Abstract : Issuing environmentally aligned green bonds has become an increasingly popular way to raise capital for green investments during the last decade. This thesis explores potential pricing differences between green and conventional bonds, known as the green premium, on the Swedish secondary bond market. READ MORE

5. 4. An Artificial Neural Network Approach to Algorithmic Trading

   University essay from Lunds universitet/Matematisk statistik

   Author : Timmie Bengtsson; [2023]
   Keywords : Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

   Abstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE

6. 5. Tick-Tock: Time to invest? : A Study of the Investment Performance of Luxury Watches versus Traditional Assets

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Sjöstedt; Sara Mannerford; [2023]
   Keywords : Veblen goods alternative assets traditional assets luxury watches hedonic pricing method hedonic characteristics regression analysis Sharpe ratio Treynor ratio CAPM Jensen’s alpha;

   Abstract : Background: This study discusses the phenomenon of luxury goods as investment assets,focusing on luxury watches in particular. The rise of globalization and increased wealth,particularly among the middle and high-income groups in developing countries, hascreated a larger potential customer base for luxury items. READ MORE