Essays about: "derivative instruments"

Showing result 1 - 5 of 19 essays containing the words derivative instruments.

  1. 1. The use of derivatives in corporate risk management - A value adding strategy?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Agnes Strignert; [2024]
    Keywords : Risk Management; Derivatives; Hedging; Modigliani-Miller; Porsche;

    Abstract : Part I:This study highlights the role of active risk management of currency risk exposure within large listed non-financial European firms. In the aftermath of the global pandemic and invasion of Ukraine, many firm across the global has experienced challenges in terms of sustaining stable cash flows. READ MORE

  3. 2. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Victor Folajin; [2021]
    Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

  4. 3. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    University essay from KTH/Matematisk statistik

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

  5. 4. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Accounting for Extension Risk

    University essay from KTH/Matematisk statistik

    Author : Karl Larsson; [2020]
    Keywords : Extension Risk; AT1; CoCo; Contingent Convertible; Bonds; Valuation; Financial Mathematics; Hybrid Capital; Förlängningsrisk; AT1; CoCo; Contingent Convertible; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

    Abstract : The investment and financing instrument AT1, or Contingent Convertible bond, has become popular in the post-crisis capital markets, prompting interest and research in the academic world. The instrument's debt definition but equity boosting properties makes it rather extraordinary, and its stochastic features makes multiple mathematical valuation methodologies relevant, especially with regard to the risk of extending the call date of the instrument. READ MORE

  6. 5. Automatic control of a model elevator based on NI LabVIEW and myRIO

    University essay from Uppsala universitet/Signaler och System

    Author : Anton Storfors; [2018]
    Keywords : LabVIEW myRIO FPGA;

    Abstract : This project aims to use the myRIO embedded device with programming development software, LabVIEW, for the education of automatic control in association with the course Control Engineering (Reglerteknik) in Uppsala University.  The myRIO is a portable reconfigurable I/O (RIO) device developed by National Instruments for students to use for designing control, signal processing, robotics, and mechatronics systems. READ MORE