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Found 5 essays matching the above criteria.

  1. 1. Deep learning exotic derivatives

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Gunnlaugur Geirsson; [2021]
    Keywords : deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

    Abstract : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. READ MORE

  3. 2. Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Elias Wårhag; Ioan Tepes; [2020]
    Keywords : Structured notes; Autocallable structured products; Express certificate; Financial instruments;

    Abstract : Autocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or other assets. READ MORE

  4. 3. Classification of Financial Instruments

    University essay from KTH/Matematisk statistik

    Author : Andreas Lindberg; [2019]
    Keywords : IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

    Abstract : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. READ MORE

  5. 4. Modeling implied correlation matrices using option prices

    University essay from KTH/Matematisk statistik

    Author : Sofie Eklund; Randa Estaifo; [2018]
    Keywords : ;

    Abstract : In the process of calculating a fair value it is preferable to price the asset from observable market data. Some assets are valued using variables which can not be directly observed in the market but are instead implied from observable market data. One such variable is the correlation between assets. READ MORE

  6. 5. Pricing With Uncertainty : The impact of uncertainty in the valuation models ofDupire and Black&Scholes

    University essay from KTH/Matematisk statistik

    Author : Mirella Zetoun; [2013]
    Keywords : Dupire; Local Volatility; Implied Volatility; Structured Products; Autocalls; CPN; Calibration; Black Scholes; S P500; DAX; OMX;

    Abstract : Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. READ MORE