Essays about: "Currency derivatives"

Showing result 6 - 10 of 20 essays containing the words Currency derivatives.

1. 6. Interest Rate Volatility and its Effect on Interest Rate Options

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jacqueline Eriksson; Jakob Sundblad; [2020]
   Keywords : Interest Rates Regimes; Volatility; Derivatives; Interest Rate Options; Asset Pricing;

   Abstract : This paper replicates the study conducted by Guillaume et. al (2013) and derives a relationship between the interest rate volatility and the interest rate level for the Swedish currency (SEK). The results suggest interest rates to be divided into three different regimes consisting of low, intermediate and high rates. READ MORE

3. 7. Corporate Currency Hedging through the Use of Derivatives An analysis on its effects and determinants on a European sample

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marco Cazzola; Ioannis Ntarlantanis; [2016]
   Keywords : Corporate Risk Management; Foreign Exchange Exposure; Derivatives;

   Abstract : According to financial theory, corporate hedging increases shareholders' value in presence of imperfect capital markets. Empirical results backing this hypothesis have always been contradictory, showing different results depending on which kind of companies, industries, countries were analyzed and which proxy variables were deployed to assess this relationship. READ MORE

4. 8. The smile of currency derivatives – PCA modelling of the FX effect

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ola Nielsen; [2016]
   Keywords : foreign exchange; option; risk management; implied volatility; volatility smile; principal components; Business and Economics;

   Abstract : This paper investigates the non-flat volatility surface of foreign exchange options, a so-called volatility smile. Foreign exchange options are especially interesting due their liquidity and frequency in risk management. To propose a non-complex model of the determinants of variation in the smile, a principal component approach is suggested. READ MORE

5. 9. Theoretical incentives vs. perceived motives for using interest rate derivatives in Swedish corporations

   University essay from KTH/Industriell ekonomi och organisation (Inst.)

   Author : Daniel Fodor; [2015]
   Keywords : Interest rate derivatives; Swaps; Basel; CVA; FVA; Hedge accounting; Corporate hedging; Räntederivat; Swappar; Basel; CVA; FVA; Hedge accounting; Hedging i företag;

   Abstract : The purpose of this research is to highlight if contemporary practices for using interest rate derivatives in large non-financial Swedish corporations are consistent with theoretical incentives for using such derivative instruments. Most theoretical incentives were developed before the financial crisis of 2007-08. READ MORE

6. 10. Collateral choice option valuation

   University essay from KTH/Matematisk statistik

   Author : Sébastian Mollaret; [2015]
   Keywords : Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

   Abstract : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). READ MORE