Essays about: "modelling of hedging"
Showing result 1 - 5 of 9 essays containing the words modelling of hedging.
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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. Option Modelling by Deep Learning
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE
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3. Deep Learning and the Heston Model:Calibration & Hedging
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE
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4. Modelling Seasonalities of HPFCs Using a Parametric Approach
University essay from Lunds universitet/Matematisk statistikAbstract : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). READ MORE
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5. Pricing of European- and American-style Asian Options using the Finite Element Method
University essay from Umeå universitet/Institutionen för fysikAbstract : An option is a contract between two parties where the holder has the option to buy or sell some underlying asset after a predefined exercise time. Options where the holder only has the right to buy or sell at the exercise time is said to be of European-style, while options that can be exercised any time before the exercise time is said to be of American-style. READ MORE