Essays about: "Financial mathematics"

Showing result 16 - 20 of 131 essays containing the words Financial mathematics.

  1. 16. Migration plan of Risky Total Return Swap to Bond Return Swap

    University essay from KTH/Matematisk statistik

    Author : Louis Maziere; [2020]
    Keywords : Total Return Swap; applied mathematics; financial mathematics; Total Return Swap; applied mathematics; financial mathematics;

    Abstract : Since the 2008 crisis, the hedging instruments have gained popularity with financial institutions. This is the case of the total return swap that is used today by major institutions like Goldman Sachs or J.P. Morgan. READ MORE

  2. 17. Portfolio optimization using factor models

    University essay from Lunds universitet/Matematisk statistik

    Author : Ville Ekelund; [2020]
    Keywords : Mathematics and Statistics;

    Abstract : In this thesis model predictive control (MPC) is used to dynamically optimize a portfolio where data is sampled at the closing price. Previous research has shown that MPC optimization applied on financial data can yield a portfolio that exceeds the value of traditional portfolio strategies. READ MORE

  3. 18. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Danny Zina; [2020]
    Keywords : Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Abstract : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. READ MORE

  4. 19. Sustainability scores for portfolio performance

    University essay from KTH/Matematisk statistik

    Author : Felix Stern; [2020]
    Keywords : ESG; financial mathematics; Co2; sustainability; portfolio optimization; sustainable investment; ESG; Co2; finansiell matematik; hållbarhet; hållbara portföljer; portfölj optimering;

    Abstract : In this thesis, the traditional methods of only using ESG scores to screen stocks for sustainable portfolios is broadened. The selection of securities for portfolios will instead depend on aggregation, weighting and normalization of a wider set of sustainability variables, in turn creating more all-encompassing sustainability scores. READ MORE

  5. 20. Synthesis of Tabular Financial Data using Generative Adversarial Networks

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Anton Karlsson; Torbjörn Sjöberg; [2020]
    Keywords : Generative Adversarial Networks; GAN; Generative Modeling; Tabular data; Financial data; Machine Learning; Statistical learning; Applied Mathematics; GANs; Generativa modeller; Tabulär data; Finansdata; Maskininlärning; Statistisk inlärning; Tillämpad Matematik;

    Abstract : Digitalization has led to tons of available customer data and possibilities for data-driven innovation. However, the data needs to be handled carefully to protect the privacy of the customers. Generative Adversarial Networks (GANs) are a promising recent development in generative modeling. READ MORE