Essays about: "risk neutral pricing"
Showing result 1 - 5 of 19 essays containing the words risk neutral pricing.
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1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
University essay from KTH/Matematisk statistikAbstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE
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2. Volatility Curves of Incomplete Markets
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. READ MORE
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3. A Comparison between Approximations of Option Pricing Models and Risk-Neutral Densities using Hermite Polynomials
University essay from Uppsala universitet/Tillämpad matematik och statistikAbstract : .... READ MORE
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4. How soon is now? Exploring mitigation of short-lived greenhouse gases in the landscape of climate risk and policies on metrics
University essay from Lunds universitet/Miljövetenskaplig utbildningAbstract : In the collected efforts towards understanding earth’s climate system, and acting on climate change, the time dimension is of central importance. When humanity’s collected activity is carbon-neutral, and how the trajectory towards such a state might look, is a tough question to answer. READ MORE
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5. Option Pricing using the Fast Fourier Transform Method
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The fast Fourier transform (FFT), even though it has been widely applicable in Physics and Engineering, it has become attractive in Finance as well for it’s enhancement of computational speed. Carr and Madan succeeded in implementing the FFT for pricing of an option. READ MORE