Essays about: "Jump-diffusion"

Showing result 11 - 15 of 30 essays containing the word Jump-diffusion.

  1. 11. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    University essay from Göteborgs universitet/Graduate School

    Author : Giulia Cesaroni; [2017-07-25]
    Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Abstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE

  3. 12. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

    University essay from KTH/Matematisk statistik

    Author : Emelie Järnberg; [2016]
    Keywords : Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

    Abstract : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. READ MORE

  4. 13. Information content and pricing of options a jump-diffusion setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristaps Vasiljevs; [2016]
    Keywords : Merton jump-diffusion model; Calibration; Asian option; Oil; Pricing;

    Abstract : It is believed that information that is incorporated within market prices is accurate and useful. To evaluate this, I, first of all, calibrate the Merton jump-diffusion model to oil options over the period from 2009 to 2015. I show that the retrieved parameters capture market events properly and appropriately. READ MORE

  5. 14. Pricing of CO2 Emission Allowance Derivatives

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Göransson; Sebastian Berggren; [2016]
    Keywords : CO2; EUA; GARCH; JUMP-DIFFUSION;

    Abstract : The aim of this paper is to analyse the pricing of carbon emission allowance futures and futures options to see how they can help us understand the intuition behind spot prices of the underlying emission allowance. We use data from the third time period within the European Union Emissions Trading Scheme. READ MORE

  6. 15. Jump-Diffusion Models and Implied Volatility

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Simon Wickström; [2015]
    Keywords : ;

    Abstract : .... READ MORE