Essays about: "libor"

Showing result 1 - 5 of 13 essays containing the word libor.

  1. 1. Pricing of a balance sheet option limited by a minimum solvency boundary

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Josefine Bofeldt; Sara Joon; [2019]
    Keywords : ;

    Abstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE

  2. 2. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  3. 3. Identication and Matching of Headstamp of Cartridge Using Iris Detection Algorithm

    University essay from Blekinge Tekniska Högskola/Institutionen för tillämpad signalbehandling; Blekinge Tekniska Högskola/Institutionen för tillämpad signalbehandling

    Author : Panduranga Sri Charan Yerragudi; Venkatesh Balija; [2016]
    Keywords : Cartridge headstamp; Cartridge headstamp matching; Cartridge pattern recognition; Iris recognition.;

    Abstract : Identication of cartridge is very essential in the field of forensics, military or people who collect ammunitions. The cartridges can beidentied by their headstamps.This thesis presents work on identification and matching of cartridge headstamp from the image. READ MORE

  4. 4. Online Spoof Illustrations in the Aftermath of a Reputational Brand Crisis: Defining the Phenomenon and Its Consequences for Brand Management

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Eric Eichinger; Jens Gudacker; [2016]
    Keywords : Spoof Illustrations; Brand Parody; Crisis Management; Stakeholder Online Reactions; Corporate Reputation; Strategic Brand Management; Business and Economics;

    Abstract : Purpose: The purpose of this thesis is to explore the phenomenon of online spoof illustrations that are created in the aftermath of a reputational brand crisis. In a first step, characteristics of these illustrations are assessed and categorized. Subsequently, their impact on a brand’s reputation is investigated. READ MORE

  5. 5. An Introduction to Modern Pricing of Interest Rate Derivatives

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

    Author : Hossein Nohrouzian; [2015]
    Keywords : Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Abstract : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. READ MORE