Essays about: "stock return sensitivity"

Showing result 1 - 5 of 8 essays containing the words stock return sensitivity.

1. 1. 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

3. 2. Feeling the Heat of Climate Change - How Sensitive Could It Be? 

   University essay from

   Author : Gustav Kollberg; John Skantze; [2020-06-29]
   Keywords : Climate Sensitivity; Predictability of Stock Returns; Temperature Anomaly; Fama French Three-Factor Model; Carhart Four-Factor Model;

   Abstract : This thesis examines if climate sensitivity predicts stock returns and how well this measurement performs. The sample consists of the S&P 500 and the monthly stock return for the period between 1979 to 2019. The method is first to estimate the climate sensitivity for stock returns from temperature anomaly. READ MORE

4. 3. Discrete Event Simulation for Aftermarket Supply Chain

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Laura Albors Marques; Jagathishvar Jayakumar; [2020]
   Keywords : Aftermarket; Demand Planning; Discrete Event Simulation; Multi-Echelon Inventory Optimization; Supply Chain; Digital Supply Chain; Aftermarket; Demand Planning; Discrete Event Simulation; Multi-Echelon Inventory Optimization; Supply Chain; Digital Supply Chain;

   Abstract : The planning of an Aftermarket Supply Chain is a very complex task. This is due to an unpredictable demand which is driven by the need for maintenance and repair. This drive translates to a high variety of lead times, a large number of stock-keeping units (SKUs) and the capacity to deliver spare parts during its full lifecycle. READ MORE

5. 4. CEO Incentives and firm risk: in the context of cross-listing

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : William Lennartsson; Harley Ljungdahl; [2019]
   Keywords : CEO compensation; CEO incentives; Stock options; Firm risk; Black-Scholes; Delta; Vega; Agency Theory; Business and Economics;

   Abstract : This research aims to investigate the relation of CEO compensation, especially how the sensitivity of CEO wealth to stock return volatility (vega), but also how the sensitivity of CEO wealth to stock price (delta) affects the risk of the firm. Moreover, these relations are investigated in the context of cross-listing to examine whether there are differences between US-only listed firms and those that are dual listed. READ MORE

6. 5. Bank stock return sensitivity to changes in interest rate level and volatility

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Filip Bengtsson; Alfred Persson; [2018]
   Keywords : Banks; stock return; interest rates; volatility; GARCH-M;

   Abstract : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. READ MORE