Essays about: "repricing"
Found 3 essays containing the word repricing.
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1. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE
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2. Measuring the Risk-neutral Probability Distribution of Equity Index Options
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE
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3. Measuring Interest Rate Risk in the Treasury Operations of an International Industrial Company Group : A Case Study of Toyota Industries Finance International
University essay from FöretagsekonomiAbstract : Background: The volatility in the interest rate market have increased during the last decade and this have made interest rate risk management more important for both financial institutions and non-financial companies with short- and long term financial commitments. Objective: The main objective of this thesis is to analyze different ways of measuring interest rate risk in the treasury operations an international industrial company group. READ MORE