Search for dissertations about: "swap"

Showing result 1 - 5 of 22 swedish dissertations containing the word swap.

  1. 1. Analytical Approximation of Contingent Claims

    Author : Karl Larsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL 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

  2. 2. Empirical Essays on Financial Economics

    Author : Henrik Degrér; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Swap Agreements; Default Risk; Economic Conditions Index; Finansiering; Financial science; Term Structure of Interest Rates;

    Abstract : In the first essay of this thesis we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. READ MORE

  3. 3. Empirical studies of financial asset returns

    Author : Sonnie Karlsson; Lunds universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; Riskaversion; Consumption; Capital investments; Multi-moment; Non-linear; International capital markets; Credit risk; Swap spread; Liquidity;

    Abstract : This dissertation aims at understanding differences in rates of returns on financial assets, both in the cross-section and over time. It contains four chapters. The first paper is "Non-separable preferences and risk aversion: Results from the UK". READ MORE

  4. 4. After Work - Investing for Retirement

    Author : Evert Carlsson; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Life-cycle; portfolio choice; pensions; Shiller-swap; defined contribution; defined benefit;

    Abstract : The first three papers are the result of work on various aspects of pension savings. The framework for analysis and common to all papers; is a life-cycle model of a borrowing-constrained individual's consumption- and portfolio-choices in the presence of uncertain labour-income. READ MORE

  5. 5. Retirement Planning: Portfolio Choice for Long-Term Investors

    Author : Karl Erlandzon; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Life-cycle; portfolio choice; pensions; Shiller-swap; defined contribution; defined benefit;

    Abstract : This thesis consists of four papers. Common to the first three papers is the framework for analysis; a life-cycle model of a borrowing-constrained individual's consumption- and portfolio choices in the presence of uncertain labour income. The income process, taxes and pension systems are also realistically calibrated. READ MORE