Essays about: "derivatives inflation"
Found 4 essays containing the words derivatives inflation.
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1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE
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2. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model
University essay from KTH/Matematisk statistikAbstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE
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3. Pricing Inflation Derivatives : A survey of short rate- and market models
University essay from KTH/Matematisk statistikAbstract : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. READ MORE
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4. Currency Hedging Management in Global Firms. The case of Heidelberg Cement
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Our ever-changing world has to a great extent created a need of efficient financial risk-management programs for financial institutions and corporations operating in a demanding international environment. These changes have however also increased the types of financial tools and derivatives used to handle the multifold macroeconomic exposures. READ MORE