Essays about: "LIBOR"

Showing result 1 - 5 of 15 essays containing the word LIBOR.

  1. 1. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE

  3. 2. A Study of Stibor - Sweden’s Most Important Number and the Rates That Could Come to Replace It

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anton Nystedt; Cecilia Skoglund; [2019]
    Keywords : Stibor; Libor; ibor rate; reference rate; alternative reference rate; overnight rate; Business and Economics;

    Abstract : As a working group named AGAR is currently looking into replacements and complements to Stibor, the subject of reference rates will become increasingly relevant in the coming years. This paper therefore investigates Stibor as well as future options for a Swedish reference rate, consolidating information of and opinions on reference rates in Sweden, primarily through the review of previous literature in the field and expert interviews with representatives of organisations in AGAR. READ MORE

  4. 3. Pricing of a balance sheet option limited by a minimum solvency boundary

    University essay from KTH/Matematisk statistik

    Author : Josefine Bofeldt; Sara Joon; [2019]
    Keywords : ;

    Abstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE

  5. 4. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  6. 5. Identication and Matching of Headstamp of Cartridge Using Iris Detection Algorithm

    University essay from Blekinge Tekniska Högskola/Institutionen för tillämpad signalbehandling

    Author : Panduranga Sri Charan Yerragudi; Venkatesh Balija; [2016]
    Keywords : Cartridge headstamp; Cartridge headstamp matching; Cartridge pattern recognition; Iris recognition.;

    Abstract : Identication of cartridge is very essential in the field of forensics, military or people who collect ammunitions. The cartridges can beidentied by their headstamps.This thesis presents work on identification and matching of cartridge headstamp from the image. READ MORE