Essays about: "Fair Value Hedging"

Showing result 1 - 5 of 8 essays containing the words Fair Value Hedging.

1. 1. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Victoria Beschorner; Julius Mehl; [2021]
   Keywords : Interest Rate Risk Management; Interest Rate Hedging; Interest Rate Derivatives; Cash Flow Hedging; Fair Value Hedging;

   Abstract : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. READ MORE

3. 2. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

4. 3. Extracting volatility smiles from historical spot data

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emil Larsson; [2017]
   Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

   Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

5. 4. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   University essay from KTH/Matematisk statistik

   Author : Martin Hellander; [2015]
   Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Abstract : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. READ MORE

6. 5. The value relevance of comprehensive income

   University essay from Företagsekonomiska institutionen

   Author : Elena Ringström; Jörgen Ekström; [2012]
   Keywords : Value relevance; Comprehensive income; Components of other comprehensive income; Revised IAS 1; Fair value;

   Abstract : In this study, we look at the effects of the adoption of the revised IAS 1 rules, which has been in effect since January 1, 2009. The revised IAS 1 requires that all changes in equity, excluding changes in equity arising from transactions with owners, should be recognized in comprehensive income statement. READ MORE