Search for dissertations about: "Bond option pricing"

Found 3 swedish dissertations containing the words Bond option pricing.

2. 1. Financial Volatility and Time-Varying Risk Premia

   Author : Peter Hördahl; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

   Abstract : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. READ MORE

4. 2. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

   Author : Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

   Abstract : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. READ MORE

5. 3. Credit Risk in Corporate Securities and Derivatives : valuation and optimal capital structure choice

   Author : Jan Ericsson; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : This volume consists of four papers, which in principle could be read in any order. The common denominator is that they deal with contingent claims models of a firm's securities or related derivatives. READ MORE