Search for dissertations about: "Interest rate risk"

Showing result 6 - 10 of 139 swedish dissertations containing the words Interest rate risk.

  2. 6. Essays in option pricing and interest rate models

    Author : Irina Slinko; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  4. 7. Essays on Income Risk and Inequality

    Author : Karl Harmenberg; Per Krusell; Fatih Guvenen; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; income risk; income inequality; consumption; durable goods; cyclical skewness; top-income inequality; gender gap; glass ceiling; assortative mating; Economics; nationalekonomi;

    Abstract : Consumption Dynamics under Time-Varying Unemployment Risk We study the response of households' demand for durable goods to fluctuations in unemployment risk. First, using survey data, we document that household durable expenditures react strongly to unemployment risk, while the effect on nondurable expenditures is indistinguishable from zero. READ MORE

  5. 8. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Author : Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. READ MORE

  6. 9. On monetary policy and interest rate determination in an open economy

    Author : Lars Hörngren; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : Swedish financial markets, in particular the money market, have developed very rapidly during the 1980s. Concurrently, there has been an equally drastic change in the conduct of monetary policy and a shift away from the previous reliance on regulatory policy instruments. READ MORE

  7. 10. 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