Essays about: "forward curve"

Showing result 1 - 5 of 35 essays containing the words forward curve.

  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. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Abstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE

  4. 3. Comparison of Particle Tracking and ADCP Including Construction of the Rating Curve at Islandsfallet

    University essay from Uppsala universitet/Institutionen för geovetenskaper

    Author : Rasmus Møller Jess; Fredrik Norstedt; [2023]
    Keywords : Rating Curve; Islandsfallet; Fyrisån; Particle Tracking; LSPIV; Fudaa; Hydrology;

    Abstract : The objective of this study is to compare Large-Scale Particle Image Velocimetry (LSPIV) to conventional methods for measuring discharge. Furthermore, to use the discharge data to create a rating curve at Islandsfallet in Uppsala. To measure discharge, on-site measurements have conventionally been done. READ MORE

  5. 4. Capacity Market in US

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

    Author : Astrid Zoe Gonzalez; Tuve Gustavsson; [2022]
    Keywords : Forward capacity market; Variable Resource Reserve; Installed Reserve Margin; Supply curve; Demand curve; Cost of New Entry;

    Abstract : As the transition from the use of fossil fuels torenewable sources takes place, consumption of electricity willgreatly increase. The shift in energy sources will have a deepimpact on how financial decisions in the grid will be made. READ MORE

  6. 5. Modeling Electricity Prices in the German Energy market - with Applications to Renewables

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kaisen Jin; Chibuzo Azuka; [2022]
    Keywords : Hourly Price Forward Curves; Power Market; Renewables; Electricity spot prices; Day-ahead market; Business and Economics;

    Abstract : Recent focus on the negative effects of climate change has amplified the importance of renewable sources of energy for electricity generation. The contribution of renewables to the energy mix is growing steadily with profound effects on the price of electricity and implications for market participants. READ MORE