Essays about: "derivative pricing"

Showing result 21 - 25 of 48 essays containing the words derivative pricing.

  1. 21. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models

    University essay from KTH/Matematisk statistik

    Author : Greta Graziani; [2018]
    Keywords : ;

    Abstract : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. READ MORE

  3. 22. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    University essay from Göteborgs universitet/Graduate School

    Author : Giulia Cesaroni; [2017-07-25]
    Keywords : Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Abstract : This thesis focuses on the pricing of the Contingent Convertible Bonds (CoCos), using the Equity Derivative approach and the Bates model to simulate the stock price with Monte Carlo algorithm. The CoCo bonds are hybrid financial instruments with loss-absorbency features, characterized by a conversion into equity or a write-down of the face value, when a specified trigger event happens, which is usually related to an accounting indicator of the bank. READ MORE

  4. 23. Extracting volatility smiles from historical spot data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Larsson; [2017]
    Keywords : Monte Carlo option pricing; empirical volatility smile; Business and Economics;

    Abstract : The Black-Scholes model has been the fundamental framework for option pricing since its publication 1973, but it is known to have shortcomings. To correct for this, plenty of research in option pricing theory has been focused on calibrating a stochastic process to match asset behavior in the financial markets better than the geometric Brownian motion that Black-Scholes assume describe asset behaviour justly. READ MORE

  5. 24. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Gustavsson; [2017]
    Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Abstract : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. READ MORE

  6. 25. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options

    University essay from Umeå universitet/Institutionen för fysik

    Author : Niklas Andersson; [2016]
    Keywords : American options; Monte Carlo; Robust Regression; Quasi Monte Carlo; Importance sampling;

    Abstract : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. READ MORE