Search for dissertations about: "Contingent claims"

Showing result 1 - 5 of 17 swedish dissertations containing the words Contingent claims.

  2. 1. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Claus Munk; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Abstract : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. READ MORE

  4. 2. Essays on Lookback and Barrier Options - A Malliavin Calculus Approach

    Author : Hans-Peter Bermin; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Girsanov transformations.; lookback options; Contingent claims; barrier options; hedging; pricing; arbitrage; complete markets; self-financing portfolios; Black-Scholes formula; Clark-Ocone formula; Malliavin calculus; Financial science; Finansiering;

    Abstract : This thesis consists of four theoretical essays on contingent claim analysis and its connection to Malliavin calculus. The first three papers are analyzed in the famous Black and Scholes model, while the setup of the fourth paper involves an international environment and the presence of exchange rates. READ MORE

  5. 3. Studies in complex financial instruments and their valuation

    Author : Niklas Ekvall; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : During the last two decades there has been an explosion in the number of complex financial instruments that are traded on the financial markets. Naturally, being able to value the increasing number of traded complex financial instruments has an academic interest. Such valuation methods are, however, certainly not only of interest to academics. READ MORE

  6. 4. 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

  7. 5. Swedish convertible bonds and their valuation

    Author : Tomas Sörensson; Handelshögskolan i Stockholm; []
    Keywords : ;

    Abstract : Since 1980, many convertible bonds have been issued by Swedish companies. Most of these issues have been aimed at the employees. The great number of these employee issues gave rise to a new tax law. This tax law made it necessary to obtain a value on a convertible bond certificate at issue. READ MORE