Essays about: "derivative pricing"

Showing result 1 - 5 of 48 essays containing the words derivative pricing.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    University essay from Göteborgs universitet/Graduate School

    Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

  3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

  4. 3. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Johan Luhr; [2023]
    Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

  5. 4. The Predictive Power of Implied Volatility in Option Pricing

    University essay from KTH/Matematisk statistik

    Author : Lovisa Berglund; [2023]
    Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE

  6. 5. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures

    University essay from Lunds universitet/Institutionen för energivetenskaper

    Author : William Thorwaldson; Ellen Jinglöv; [2023]
    Keywords : Power Purchase Agreements; Financial Power Trading; Battery Energy Storage Systems; Power Futures; Technology and Engineering;

    Abstract : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. READ MORE