Essays about: "variance swaps"

Showing result 1 - 5 of 8 essays containing the words variance swaps.

  1. 1. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

  3. 2. Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Johan Röring; [2017]
    Keywords : ;

    Abstract : Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. READ MORE

  4. 3. Volatility Derivatives – Variance and Volatility Swaps

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Joakim Marklund; Olle Karlsson; [2015]
    Keywords : ;

    Abstract : .... READ MORE

  5. 4. Hedging Interest Rate Swaps

    University essay from KTH/Matematisk statistik

    Author : Lovisa Jangenstål; [2015]
    Keywords : ;

    Abstract : This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. READ MORE

  6. 5. Local Volatility Calibration on the Foreign Currency Option Market

    University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

    Author : Markus Falck; [2014]
    Keywords : FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

    Abstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE