Search for dissertations about: "interest rate derivatives"

Showing result 1 - 5 of 7 swedish dissertations containing the words interest rate derivatives.

  1. 1. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

  2. 2. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    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

  3. 3. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

    Author : Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

    Abstract : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. READ MORE

  4. 4. Asymmetrical Flow Field-Flow Fractionation and Multiangle Light Scattering for Molar Mass Analysis of Polysaccharide Derivatives

    Author : Mats Andersson; Industriell Produktion; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; polysaccharide derivatives ethylhydroxyethyl cellulose; molar mass analysis; asymmetrical flow field-flow fractionation; multiangle light scattering; polymer size distribution; Polymer technology; biopolymers; Polymerteknik;

    Abstract : Molar mass and molar mass distribution of polymers are parameters of fundamental importance as they influence the performance of the polymer in applications. Polysaccharide derivatives are a class of polymers that have attracted significant scientific and commercial interest as they can be manufactured from a wide range of abundant sources in nature and thereby often are both cheap and biocompatible. READ MORE

  5. 5. Term structure estimation based on a generalized optimization framework

    Author : Marcel Ndengo Rugengamanzi; Torbjörn Larsson; Jörgen Blomvall; Kristoffer Hägglöf; Linköpings universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP;

    Abstract : The current work is devoted to estimating the term structure of interest rates based on a generalized optimization framework. To x the ideas of the subject, we introduce representations of the term structure as they are used in nance: yield curve, discount curve and forward rate curve. READ MORE