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Showing result 1 - 5 of 19 essays matching the above criteria.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : 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

  3. 2. Volatility Curves of Incomplete Markets

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Kateryna Chechelnytska; [2020-06-23]
    Keywords : Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

    Abstract : 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

  4. 3. A Comparison between Approximations of Option Pricing Models and Risk-Neutral Densities using Hermite Polynomials

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Nathaniel Ahy; [2020]
    Keywords : ;

    Abstract : .... READ MORE

  5. 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 utbildning

    Author : Edwin Klint Bywater; [2020]
    Keywords : Global warming; GWP; GTP; methane; short-lived greenhouse gases; short-lived climate forcers; climate policy; climate risk; climate crisis; carbon pricing; climate negotiations; technocracy.; Earth and Environmental Sciences;

    Abstract : 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

  6. 5. Option Pricing using the Fast Fourier Transform Method

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

    Author : Abaynesh Berta; [2020]
    Keywords : Black-Scholes-Merton model; Characteristic function; Fast Fourier transform; Fourier Inverse Fourier transform; Option pricing;

    Abstract : 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