Search for dissertations about: "dissertation on financial derivatives"

Showing result 1 - 5 of 9 swedish dissertations containing the words dissertation on financial derivatives.

  1. 1. Income Taxation of Derivatives and other Financial Instruments - Economic Substance versus Legal Form, A study focusing on Swedish non-financial companies

    University dissertation from Jönköping : Jönköping International Business School

    Author : Axel Hilling; Högskolan i Jönköping.; Linköpings universitet.; Linköpings universitet.; [2007]
    Keywords : TECHNOLOGY; TEKNIKVETENSKAP; Income taxation; Derivatives; Financial instruments; Tax arbitrage;

    Abstract :  From an economic viewpoint, derivatives and credit-extension instruments are the basic building blocks of all financial instruments. Thus by structuring these building blocks in various combinations it is possible to attain the economic substance of any conventional financial instrument, for example, regular shares or bonds, as well as more complex financial instruments such as contingent debt instruments. READ MORE

  2. 2. Essays on Derivatives and Liquidity

    University dissertation from Stockholm : School of Business, Stockholm University

    Author : Caihong Xu; Stockholms universitet.; [2013]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; Business Administration; företagsekonomi;

    Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

  3. 3. Essays on Financial Market Volatility

    University dissertation from Stockholm : School of Business, Stockholm University

    Author : Ai Jun HOU; Lunds universitet.; Lund University.; [2011]
    Keywords : News Impact Curve; Nonparametric GARCH model; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets; Ekonomi; Business and economics;

    Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE

  4. 4. Empirical essays on financial markets, firms, and derivatives

    University dissertation from Stockholm : Företagsekonomiska institutionen

    Author : Niclas Hagelin; Stockholms universitet.; [2000]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SOCIAL SCIENCES Business and economics Business studies; SAMHÄLLSVETENSKAP Ekonomi Företagsekonomi; företagsekonomi; Business Administration;

    Abstract : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. READ MORE

  5. 5. Pricing Portfolio Credit Derivatives

    University dissertation from Göteborg University

    Author : Alexander Herbertsson; Göteborgs universitet.; University of Gothenburg.; [2007]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; Economics; Portfolio credit risk; intensity-based models; dynamic dependence modelling; default contagion; CDS; synthetic CDO tranches; index CDS; k-th-to-default swaps; CDS-correlation; default-correlation; Markov jump processes; multivariate phase-type distributions; matrix-analytic methods;

    Abstract : This thesis consists of four papers on dynamic dependence modelling in portfolio credit risk. The emphasis is on valuation of portfolio credit derivatives. The underlying model in all papers is the same, but is split in two different sub-models, one for inhomogeneous portfolios, and one for homogeneous ones. READ MORE