Essays about: "Sina Mozayyan"
Found 2 essays containing the words Sina Mozayyan.
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1. Black Box Optimization Framework for Reinsurance of Large Claims
University essay from Stockholms universitet/Statistiska institutionenAbstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE
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2. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
University essay from KTH/Matematisk statistikAbstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE