Essays about: "term structure models"

Showing result 21 - 25 of 95 essays containing the words term structure models.

  1. 21. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Rickard Nordin; Emil Mårtensson; [2021]
    Keywords : Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Abstract : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. READ MORE

  3. 22. SPAC Post-Merger Performance

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tim Söderman; Rasmus Hjorter Blomberg; [2021]
    Keywords : Special Purpose Acquisition Company SPAC ; Incentive Structure; Moral Hazard; Long-Term Performance; Management Expertise; Business and Economics;

    Abstract : Special purpose acquisition companies (SPACs) are shell companies with no operational assets with the sole purpose of using the raised capital from the initial public offering (IPO) to acquire a private target firm within a predetermined time frame. This financial vehicle has in recent years surged in interest and media coverage. READ MORE

  4. 23. Factor Models For The Term Structure Of STIBOR Rates

    University essay from Lunds universitet/Matematisk statistik

    Author : Jonatan Persson; [2021]
    Keywords : Interest rates; Time series; State space models; Mathematics and Statistics;

    Abstract : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. READ MORE

  5. 24. Concrete reinforced with FRP rebars : Evaluation of durability and behaviour in the Service Limit State (SLS)

    University essay from Luleå tekniska universitet/Byggkonstruktion och brand

    Author : David Ottosson; [2021]
    Keywords : GFRP; Durability; SLS; Atena;

    Abstract : One of the most common building materials is concrete and it has been for a long time. To overcome its low tensile capacity concrete structures are normally reinforced with steel rebars. READ MORE

  6. 25. Entrepreneurial Firms in Pursuit of Resilience: An Empirical Study of Dynamic Capabilities in the Lab-Grown Food and Dairy Industry

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Cathrine Bjørnstad; Stephanie Fredebeul; [2021]
    Keywords : Business and Economics;

    Abstract : This thesis contributes to the exploration of business models with an aspect of change, by ap- plying the concept of dynamic capabilities. The aim is to explore how entrepreneurial firms utilise dynamic capabilities in order to create resilient business models in times of technological change and uncertainty. READ MORE