Essays about: "stock derivatives"

Showing result 1 - 5 of 28 essays containing the words stock derivatives.

  1. 1. The use of derivatives in corporate risk management - A value adding strategy?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Agnes Strignert; [2024]
    Keywords : Risk Management; Derivatives; Hedging; Modigliani-Miller; Porsche;

    Abstract : Part I:This study highlights the role of active risk management of currency risk exposure within large listed non-financial European firms. In the aftermath of the global pandemic and invasion of Ukraine, many firm across the global has experienced challenges in terms of sustaining stable cash flows. READ MORE

  3. 2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : 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

  4. 3. Option trading and firm innovation

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Lundberg; Leon Nagy; [2019-07-02]
    Keywords : ;

    Abstract : We investigate whether active derivatives markets stimulates or inhibits firm innovation within R&D- intense industries. This is done by estimating the relationship between the volume on the option written on the firm’s stock and established measures of firm innovation. READ MORE

  5. 4. The Impact of Derivatives Trading on the volatility of S&P500 and its implied volatility

    University essay from Göteborgs universitet/Graduate School

    Author : Massimo Mastrantonio; [2018-12-06]
    Keywords : ;

    Abstract : Research on the relationships between spot volatility and trading exchange in the financial markets has been and still is the heart of great attention by scholars of econo-metrics, finance and statistics. The purpose of this thesis is to examine the movements of the underlying spot volatility and the CBOE Volatility Index, known as VIX Index, in the American Stock exchange market after the introduction of linear and non-linear derivatives trading activities on the Standard & Poor’s 500. READ MORE

  6. 5. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    University essay from KTH/Matematisk statistik

    Author : Simon Carmelid; [2017]
    Keywords : ;

    Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE