Essays about: "risk sensitivities"
Showing result 1 - 5 of 12 essays containing the words risk sensitivities.
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1. Deep learning exotic derivatives
University essay from Uppsala universitet/Avdelningen för systemteknikAbstract : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. READ MORE
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2. Sensitivity Matching Through Market Power: Bank Hedging in the Age of Low Interest Rates
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We replicate the paper of Drechsler et al. (2017a) who find that banks are able to hedge against interest rate risk exposure through maturity transformation. Our results confirm their findings prior to the financial crisis that the interest sensitivities of income and expenses closely follow one another, resulting in an insensitive ROA. READ MORE
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3. Risk factors impact on the P&L
University essay from KTH/Matematisk statistikAbstract : Profit and Loss (P&L) explain analysis is an income statement produced by Product Control Team for traders to control the daily fluctuation in the value of a portfolio of trades to the root causes of the changes. This daily income provides users with a coherent breakdown of the drivers of P&L movements between two points in time with reference to a selected number of easily understandable pricing factors. READ MORE
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4. Estimation methods for Asian Quanto Basket options
University essay from Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE
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5. Measuring the Risk-neutral Probability Distribution of Equity Index Options
University essay from Linköpings universitet/Produktionsekonomi; 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
