Essays about: "Emil Lauri"

Found 1 essay containing the words Emil Lauri.

  1. 1. Dynamic hedging of swaptions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Emil Lauri; Alexander Milles; [2009]
    Keywords : Hedging; swaption; Black model; CEV model;

    Abstract : 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