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Showing result 1 - 5 of 35 swedish dissertations matching the above criteria.

  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. Empirical Essays on Financial Economics

    Author : Henrik Degrér; Nationalekonomiska institutionen; []
    Keywords : 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

  5. 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

  6. 4. Essays on Sovereign Credit Risk and Credit Default Swap Spreads

    Author : Patrick Augustin; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press.  Real Economic Shocks and Sovereign Credit Risk. READ MORE

  7. 5. After Work - Investing for Retirement

    Author : Evert Carlsson; Göteborgs universitet; []
    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