Essays about: "Finansiella Derivat"

Showing result 1 - 5 of 20 essays containing the words Finansiella Derivat.

1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Lucas Fageräng; Hugo Thoursie; [2023]
   Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

3. 2. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

   University essay from KTH/Matematik (Avd.)

   Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
   Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

   Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

4. 3. The Predictive Power of Implied Volatility in Option Pricing

   University essay from KTH/Matematisk statistik

   Author : Lovisa Berglund; [2023]
   Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

   Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE

5. 4. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures

   University essay from Lunds universitet/Institutionen för energivetenskaper

   Author : William Thorwaldson; Ellen Jinglöv; [2023]
   Keywords : Power Purchase Agreements; Financial Power Trading; Battery Energy Storage Systems; Power Futures; Technology and Engineering;

   Abstract : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. READ MORE

6. 5. Differential Deep Learning for Pricing Exotic Financial Derivatives

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Erik Alexander Aslaksen Jonasson; [2021]
   Keywords : Deep Learning; Exotic Derivatives; Differential Machine Learning;

   Abstract : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. READ MORE