Essays about: "Financial mathematics"

Showing result 31 - 35 of 162 essays containing the words Financial mathematics.

  1. 31. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

  3. 32. A Model for Estimating Short Interest

    University essay from KTH/Matematisk statistik

    Author : Knut Dahlström; Carl Forssbeck; [2021]
    Keywords : Statistics; applied mathematics; regression; finance; short interest; stock market; Statistik; tillämpad matematik; regression; finans; korta positioner; aktiemarknaden;

    Abstract : The hefty price increases in heavily shorted stocks in the beginning of 2021 indicates that short interest might be an underrated yet important key figure for investors when deciding on whether to take on an investment strategy or not. Most stock exchanges release information regarding the short interest only once a month leaving investors having to make decisions on outdated information. READ MORE

  4. 33. Forecasting Price Direction Using Different Sampling Methods

    University essay from KTH/Matematik (Avd.)

    Author : Niklas Mannerskog; [2021]
    Keywords : Applied mathematics; sampling methods; scaling laws; foreign exchange rates; futures; price direction; directional change; Tillämpad matematik; samplingsmetoder; skallagar; valutapar; terminer; prisriktning; directional change;

    Abstract : To extract usable information from financial data the prices of financial instruments must be summarized in an efficient manner. Typically price quotes are sampled at discrete and equidistant points in time to create a time series of prices at fixed times. READ MORE

  5. 34. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model

    University essay from KTH/Matematisk statistik

    Author : Robin Nordström; Sepand Tabari; [2021]
    Keywords : Applied Mathematics; Financial Mathematics; Option Pricing; Binomial Option Pricing Model; Basket Option; Delta Neutrality; Data Analysis; Tillämpad Matematik; Finansiell Matematik; Optionsprissättning; Binomialmodellen; Korgoption; Deltaneutralitet; Dataanalys;

    Abstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE

  6. 35. Value at Risk Estimation with Generative Adversarial Networks

    University essay from Lunds universitet/Statistiska institutionen

    Author : David Tobjörk; [2021]
    Keywords : generative adversarial networks value at risk finance machine learning neural networks; Mathematics and Statistics;

    Abstract : Risk is of large importance for financial institutions and there are many different measures that can be used. A popular one is value at risk (VaR), which is the maximum likely loss for a portfolio of financial assets. Different methods of estimating it has been suggested, one often described is the variance-covariance method. READ MORE