Essays about: "zero coupon"
Showing result 1 - 5 of 7 essays containing the words zero coupon.
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1. Investigation of portfolio strategies by means of simulation
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE
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2. Volatility- An investigation of the relationship between price- and yield volatility
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : This report investigates the relationship between the yield volatility and the price volatility in the Swedish market. The method given in our report can be used to analyze any market with appropriate data set. We have used a time-series data of interest rate yield curves from Swedish government bonds. READ MORE
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3. Risk premia implied by derivative prices
University essay from KTH/Matematisk statistikAbstract : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. READ MORE
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4. Mispricing Due to Nelson-Siegel-Svensson model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Most trading software in the market uses linear interpolation in the bootstrap procedure to create a zero coupon interest rate curve. Forward interest rate curves created by interpolation method have a zigzag form that is inconsistent with arbitrage condition. READ MORE
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5. Anticipated Shocks and their Impact on Expectations: An event study of the impact of TIPS auctions on ZCIIS
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis has the purpose to empirically investigate how anticipated shocks that result into recurrent supply shocks are subsumed by change in expectations. More precisely, we study the price impact of Treasury Inflation Protected Securities (TIPS) auctions on the Zero-Coupon Inflation-Indexed Swap (ZCIIS) rates using an event study methodology for each of the 60 auctions of 5-, 10-, 20- and 30-year TIPS during the period 2004-2011. READ MORE