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1
Diallo, Nafi C. "The valuation of credit default swaps." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-011106-122357/.
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Baran, Jaroslav. "Post-Crisis Valuation of Derivatives." Doctoral thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-203746.
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In this study we analyse relationship between classical approach to valuation of linear interest rate derivatives and post-crisis approach when the valuation better reflects credit and liquidity risk and economic costs of the transaction on top of the risk-free rate. We discuss the method of collateralization to diminish counterparty credit risk, its impact on derivatives pricing, and how overnight indexed swap (OIS) rates became market standard for discounting future derivatives' cash flows. We show that using one yield curve to both estimating the forward rates and discounting the expected future cash flows is no longer possible in arbitrage free market. We review in detail three fundamental interest rate derivatives (interest rate swap, basis swap and cross-currency swap) and we derive discount factors used for calculating the present value of expected future cash flows that are consistent with market quotes. We also investigate drivers behind basis spreads, in particular, credit and liquidity risk, and supply and demand forces, and show how they impact valuation of derivatives. We analyse Czech swap rates and propose an estimation of CZK OIS curve and approximate discount rates in case of cross-currency swaps. Finally, we discuss inflation markets and consistent valuation of inflation swaps.
3
Guerrero, Leon. "Valuation of Over-The-Counter (OTC) Derivatives with Collateralization." Master's thesis, University of Central Florida, 2013. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5751.
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Collateralization in over-the-counter (OTC) derivatives markets has grown rapidly over the past decade, and even faster in the past few years, due to the impact of the recent financial crisis and the particularly important attention to the counterparty credit risk in derivatives contracts. The addition of collateralization to such contracts significantly reduces the counterparty credit risk and allows to offset liabilities in case of default. We study the problem of valuation of OTC derivatives with payoff in a single currency and with single underlying asset for the cases of zero, partial, and perfect collateralization. We assume the derivative is traded between two default-free counterparties and analyze the impact of collateralization on the fair present value of the derivative. We establish a uniform generalized derivative pricing framework for the three cases of collateralization and show how different approaches to pricing turn out to be consistent. We then generalize the results to include multi-asset and cross-currency arguments, where the underlying and the derivative are in some domestic currency, but the collateral is posted in a foreign currency. We show that the results for the single currency, multi-asset case are consistent with those obtained for the single currency, single asset case.<br>M.S.<br>Masters<br>Mathematics<br>Sciences<br>Mathematical Science; Industrial Mathematics
4
Stotska, Svitlana [Verfasser]. "Valuation of Credit Derivatives / Svitlana Stotska." Kaiserslautern : Universitätsbibliothek Kaiserslautern, 2011. http://d-nb.info/1011451476/34.
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Diallo, Nafi C. "The Valuation of Credit Default Swaps." Digital WPI, 2006. https://digitalcommons.wpi.edu/etd-theses/57.
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The credit derivatives market has known an incredible development since its advent in the 1990's. Today there is a plethora of credit derivatives going from the simplest ones, credit default swaps (CDS), to more complex ones such as synthetic single-tranche collateralized debt obligations. Valuing this rich panel of products involves modeling credit risk. For this purpose, two main approaches have been explored and proposed since 1976. The first approach is the Structural approach, first proposed by Merton in 1976, following the work of Black-Scholes for pricing stock options. This approach relies in the capital structure of a firm to model its probability of default. The other approach is called the Reduced-form approach or the hazard rate approach. It is pioneered by Duffie, Lando, Jarrow among others. The main thesis in this approach is that default should be modeled as a jump process. The objective of this work is to value Asset-backed Credit default swaps using the hazard rate approach.
6
Mürmann, Alexander. "Financial and actuarial valuation of insurance derivatives." Thesis, London School of Economics and Political Science (University of London), 2002. http://etheses.lse.ac.uk/2103/.
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This dissertation looks into the interplay of financial and insurance markets that is created by securitization of insurance related risks. It comprises four chapters on both the common ground and different nature of actuarial and financial risk valuation. The first chapter investigates the market for catastrophe insurance derivatives that has been established at the Chicago Board of Trade in 1992. Modeling the underlying index as a compound Poisson process the set of financial derivative prices that exclude arbitrage opportunities is characterized by the market prices of frequency and jump size risk. Fourier analysis leads to a representation of price processes that separates the underlying stochastic structure from the contract's payoff and allows derivation of the inverse Fourier transform of price processes in closed form. In a market with a representative investor, market prices of frequency and jump size risk are uniquely determined by the agent's coefficient of absolute risk aversion which consequently fixes the price process on the basis of excluding arbitrage strategies. The second chapter analyzes a model for a price index of insurance stocks that is based on the Cramer-Lundberg model used in classical risk theory. It is shown that price processes of basic securities and derivatives can be expressed in terms of the market prices of risk. This parameterization leads to formulae in closed form for the inverse Fourier transform of prices and the conditional probability distribution. Financial spreads are examined in more detail as their structure resembles the characteristics of stop loss reinsurance treaties. The equivalence between a representative agent approach and the Esscher transform is shown and the financial price process that is robust to these two selection criteria is determined. Finally, the analysis is generalized to allow for risk processes that are perturbed by diffusion. In the third chapter an integrated market is introduced containing both insurance and financial contracts. The calculation of insurance premia and financial derivative prices is presented assuming the absence of arbitrage opportunities. It is shown that in contrast to financial contracts, there exist infinitely many market prices of risk that lead to the same premium process. Thereafter a link between financial and actuarial prices is established based on the requirement that financial prices should be consistent with actuarial valuation. This connection is investigated in more detail under certain premium calculation principles. The starting point of the final chapter is the Fourier technique developed in Chapters 1 and 2. It is the aim of this chapter to generalize the analysis to underlying Levy processes. Expressions for the conditional moments and probabilities based on these processes are derived and their inverse Fourier transforms are obtained in closed form. The representation of conditional moments and probabilities separates the stochastic structure from the deterministic dependence on the underlying Levy processes.
7
Sorwar, Ghulam. "Valuation of single-factor interest rate derivatives." Thesis, City University London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312935.
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Ntwiga, Davis Bundi. "Numerical methods for the valuation of financial derivatives." Thesis, University of the Western Cape, 2005. http://etd.uwc.ac.za/index.php?module=etd&.
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Numerical methods form an important part of the pricing of financial derivatives and especially in cases where there is no closed form analytical formula. We begin our work with an introduction of the mathematical tools needed in the pricing of financial derivatives. Then, we discuss the assumption of the log-normal returns on stock prices and the stochastic differential equations. These lay the foundation for the derivation of the Black Scholes differential equation, and various Black Scholes formulas are thus obtained. Then, the model is modified to cater for dividend paying stock and for the pricing of options on futures. Multi-period binomial model is very flexible even for the valuation of options that do not have a closed form analytical formula. We consider the pricing of vanilla options both on non dividend and dividend paying stocks. Then show that the model converges to the Black-Scholes value as we increase the number of steps. We discuss the Finite difference methods quite extensively with a focus on the Implicit and Crank-Nicolson methods, and apply these numerical techniques to the pricing of vanilla options. Finally, we compare the convergence of the multi-period binomial model, the Implicit and Crank Nicolson methods to the analytical Black Scholes price of the option. We conclude with the pricing of exotic options with special emphasis on path dependent options. Monte Carlo simulation technique is applied as this method is very versatile in cases where there is no closed form analytical formula. The method is slow and time consuming but very flexible even for multi dimensional problems.
9
Isenegger, Philipp. "The Valuation of Derivatives on Carbon Emission Certificates." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01704493002/$FILE/01704493002.pdf.
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Zoller, Boris. "The Valuation of Volatility Derivatives An Empirical Analysis /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01280700001/$FILE/01280700001.pdf.
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Fikri, Cem. "Valuation of synthetic CDOs and related portfolio credit derivatives." Thesis, Imperial College London, 2007. http://hdl.handle.net/10044/1/12014.
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Law, Sebastian Helfrich. "On the modelling, design and valuation of commodity derivatives." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506272.
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Kohl-Landgraf, Peter. "PDE valuation of interest rate derivatives from theory to implementation." Norderstedt Books on Demand GmbH, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=3009795&prov=M&dok_var=1&dok_ext=htm.
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Moosbrucker, Thomas [Verfasser]. "Valuation of Portfolio Credit Derivatives : Theory and Application / Thomas Moosbrucker." Aachen : Shaker, 2007. http://d-nb.info/1170527256/34.
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Franzén, Dan, and Otto Sjöholm. "Credit Valuation Adjustment: In theory and practice." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-140841.
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This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through theregulatory aspects of CVA. The three most commonly used methods for calculatingthe regulatory CVA capital charge are explained in detail and potentialchallenges with the methods are addressed. Further, the document analyses ingreater depth two of the methods; the internal model method (IMM) and thecurrent exposure method (CEM). The differences between these two methods areexplained mathematically and analysed. This comparison is supported bysimulations of portfolios containing interest rate swap contracts with differenttime to maturity and of counterparties with varying credit ratings. Oneconcluding observations is that credit valuation adjustment is a measure of centralimportance within counterparty credit risk. Further, it is shown that IMM has someimportant advantages over CEM, especially when it comes to model connection withreality. Finally, some possible future work to be done within the topic area is suggested.
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Wittig, Hagen. "Derivatives in the Gas Industry Valuation of Natural Gas Storage Facilities /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607729002/$FILE/02607729002.pdf.
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Kechagioglou, Ioannis. "Stochastic models of default intensity for derivatives and counterparty risk valuation." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/11790.
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Kyriakou, Ioannis. "Efficient valuation of exotic derivatives with path-dependence and early exercise features." Thesis, City University London, 2010. http://openaccess.city.ac.uk/12194/.
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The main objective of this thesis is to provide effective means for the valuation of popular financial derivative contracts with path-dependence and/or early-exercisable provisions. Starting from the risk-neutral valuation formula, the approach we propose is to sequentially compute convolutions of the value function of the contract at a monitoring date with the transition density between two dates, to provide the value function at the previous monitoring date, until the present date. A rigorous computational algorithm for the convolutions is then developed based on transformations to the Fourier domain. In the first part of the thesis, we deal with arithmetic Asian options, which, due to the growing popularity they enjoy in the financial marketplace, have been researched signicantly over the last two decades. Although few remarkable approaches have been proposed so far, these are restricted to the market assumptions imposed by the standard Black-Scholes-Merton paradigm. Others, although in theory applicable to Lévy models, are shown to suffer a non-monotone convergence when implemented numerically. To solve the Asian option pricing problem, we initially propose a flexible framework for independently distributed log-returns on the underlying asset. This allows us to generalize firstly in calculating the price sensitivities. Secondly, we consider an extension to non-Lévy stochastic volatility models. We highlight the benefits of the new scheme and, where relevant, benchmark its performance against an analytical approximation, control variate Monte Carlo strategies and existing forward convolution algorithms for the recovery of the density of the underlying average price. In the second part of the thesis, we carry out an analysis on the rapidly growing market of convertible bonds (CBs). Despite the vast amount of research which has been undertaken yet. This is due to the need for proper modelling of the CBs composite payout structure and the multi factor modelling arising in the CB valuation. Given the dimensional capacity of the convolution algorithm, we are now able to introduce a new jump diffusion structural approach in the CB literature, towards more realistic modelling of the default risk, and further include correlated stochastic interest rates. This aims at fixing dimensionality and convergence limitations which previously have been restricting the range of applicability of popular grid- based, lattice and Monte Carlo methods. The convolution scheme further permits flexible handling of real-world CB specications; this allows us to properly model the call policy and investigate its impact on the computed CB prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps.
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Ericsson, Jan. "Credit Risk in Corporate Securities and Derivatives : valuation and optimal capital structure choice." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1997. http://www.hhs.se/efi/summary/446.htm.
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Friedlander, Michael Arthur. "A robust non-time series approach for valuation of weather derivativesand related products." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B47147234.
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Back, Janis [Verfasser], Markus [Gutachter] Rudolf, and Christian [Gutachter] Koziol. "Essays on the valuation of commodity derivatives / Janis Back. Gutachter: Markus Rudolf ; Christian Koziol." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://d-nb.info/1113537388/34.
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Sayer, Tilman [Verfasser]. "Valuation of American-style derivatives within the stochastic volatility model of Heston / Tilman Sayer." München : Verlag Dr. Hut, 2012. http://d-nb.info/1023435349/34.
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LIMA, URSULA SILVEIRA MONTEIRO DE. "COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16812@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Este trabalho tem por objetivo o estudo e a aplicação do Método de
Mínimos Quadrados de Monte Carlo com diferentes bases polinomiais - Potência,
Laguerre, Legendre e Hermite A - na precificação de Opções Asiáticas
Americanas (Amerasian) tanto em sua modalidade de compra quanto em sua
modalidade de venda. Os resultados encontrados ratificam a possibilidade de
utilização alternativa de diversas bases polinomiais. Além disso, verifica-se a
convergência em cada um dos experimentos, sem perder de vista a possibilidade
de que haja, para cada tipo de Amerasian precificada, uma base polinomial
específica que, marginalmente, mostra-se mais precisa.<br>This work aims at studying and applying the Least-Squares Monte Carlo
Method by using different polynomial basis - Power, Laguerre, Legendre and
Hermite A - in pricing American Asian Options, either call or put. The results
found ratify the possibility of an alternated use of several polynomial bases.
Besides, each of the experiments is checked for convergence, taking into account
that there may be an optimal polynomial basis for each kind of Amerasian option
which is marginally more accurate regarding its pricing.
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Back, Janis Verfasser], Markus [Gutachter] [Rudolf, and Christian [Gutachter] Koziol. "Essays on the valuation of commodity derivatives / Janis Back. Gutachter: Markus Rudolf ; Christian Koziol." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://nbn-resolving.de/urn:nbn:de:hbz:992-opus4-553.
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Holemans, Amelia Nadine. "Applying a credit default swap valuation approach to price South African weather derivatives / Amelia Nadine Holemans." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4456.
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Most farmers in South Africa use standard insurance to protect their crops against natural disasters
such as hail or strong winds. However, no South African insurance contracts exist to compensate
for too much or too little rain (although floods are covered), or which will pay out if
temperatures were too high or too low for a certain period of time for the relevant crop.
Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -
do exist, but these are mostly available in foreign markets in the form of Heating Degree Days
contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some
South African over-the-counter weather derivatives are available, but trading in these is rare and
seldom used.
The goal of this dissertation is to establish a pricing equation for weather derivatives specifically
for use in the South African market. This equation will be derived using a similar methodology
to that employed for credit default swaps. The premium derived will be designed to compensate
grape farmers from losses arising from two different climatic outcomes - in this case temperature
and precipitation. These derivatives will be region and crop specific and the formulation will be
sufficiently flexible as to allow for further climatic possibilities (which may be added at a later
stage).
These weather derivative premiums will then be compared to standard crop insurance to establish
economic viability of the products and recommendations will be made regarding their usage.
The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal
crop coverage will also be explored and discussed.<br>Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.
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Geirsson, Gunnlaugur. "Deep learning exotic derivatives." Thesis, Uppsala universitet, Avdelningen för systemteknik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-430410.
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Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. Deep learning models are trained to approximate Phoenix Autocall valuation using a proprietary model used by Svenska Handelsbanken AB. Models are trained on large datasets of low-accuracy (10^4 simulations) Monte Carlo data, successfully learning the true model with an average error of 0.1% on validation data generated by 10^8 simulations. A specific model parametrisation is proposed for 2-day valuation only, to be recalibrated interday using transfer learning. Automatic differentiation approximates sensitivity to (normalised) underlying asset prices with a mean relative error generally below 1.6%. Overall error when predicting sensitivity to implied volatililty is found to lie within 10%-40%. Near identical results are found by finite difference as automatic differentiation in both cases. Automatic differentiation is not successful at capturing sensitivity to interday contract change in value, though errors of 8%-25% are achieved by finite difference. Model recalibration by transfer learning proves to converge over 15 times faster and with up to 14% lower relative error than training using random initialisation. The results show that deep learning models can efficiently learn Monte Carlo valuation, and that these can be quickly recalibrated by transfer learning. The deep learning model gradient computed by automatic differentiation proves a good approximation of the true model sensitivities. Future research proposals include studying optimised recalibration schedules, using training data generated by single Monte Carlo price paths, and studying additional parameters and contracts.
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Pohl, Volker [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "Valuation of portfolio credit derivatives and data-based default prediction = Bewertung von Portfoliokreditderivaten und datenbasierte Ausfallprediktion." Freiburg : Universität, 2012. http://d-nb.info/1123474451/34.
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Carvalho, Marcello Mezzabarba de. "Aplicação de modelo híbrido de financiamento com condições para proteção de sócio estratégico e sócio principal, contendo estrutura de Put e Call." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/24623.
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Previous issue date: 2015-05-29<br>Este trabalho promove a aplicação prática de estrutura de financiamento do tipo híbrida, envolvendo estrutura com opções Put e Call que estabelece condições de proteção à entrada de sócio estratégico a projeto arriscado em desenvolvimento, mantendo ao sócio principal condições que lhe garantem capturar o excesso de retorno em cenários positivos para a firma, limitando o retorno de seu sócio estratégico. A aplicação do modelo conceitual se dará em modelo de valuation de empresa do setor de óleo & gás denominada Parnaíba Gás Natural S.A.<br>This work promotes an application of a hybrid funding structure containing a structure with Put and Call options that establishes hedging conditions for a new shareholder investment in a high-risk Project under development, maintaining to the principal shareholder a condition that guarantees an excess return arising from more than expected positive scenarios for the Company, defining a cap return for the strategic shareholder. The application of the model will take place assuming the long-term valuation model of an Oil & Gas Brazilian Company known as Parnaíba Gás Natural S.A.
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Chernizon, Eitan. "Modelagem da dependência entre fatores de crédito e mercado para apreçamento e gerenciamento de risco em exposições de derivativos." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10493.
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Previous issue date: 2013-02-01<br>Apesar das recentes turbulências nos mercados, a utilização de derivativos negociados fora de uma câmara de compensação tem apresentado rápido crescimento, constituindo um dos maiores componentes do mercado financeiro global. A correta inclusão da estrutura de dependência entre fatores de crédito e mercado é de suma importância no apreçamento do risco de crédito adjacente a exposições geradas por derivativos. Este é o apreçamento, envolvendo simulações de Monte Carlo, feito por uma instituição negociante para determinar a redução no valor do seu portfólio de derivativos devido a possibilidade de falência da contraparte. Este trabalho apresenta um modelo com abordagem paramétrica para lidar com a estrutura de dependência, intuitivo e de fácil implementação. Ao mesmo tempo, os números são contrastados com os resultados obtidos através de uma abordagem neutra ao risco para um portfólio replicante, sob o mesmo processo estocástico. O modelo é aplicado sobre um contrato a termo de câmbio, e diferentes cópulas e fatores de correlação são utilizados no processo estocástico.<br>Despite recent turmoils, the use of derivatives traded outside of a clearinghouse has shown rapid growth and is a major component of the global financial market. The correct inclusion of the dependence structure between market and credit factors is of high importance in the pricing of credit risk exposures generated by the adjacent derivatives. This pricing, involving Monte Carlo simulations, is done by a dealer to determine the reduction in the value of its derivatives portfolio because of the bankruptcy of the counterparty. This paper presents a model with parametric approach to deal with the dependence structure, intuitive and easily implemented. Meanwhile, the numbers are contrasted with results obtained using a risk neutral approach for a replicating portfolio under the same stochastic process. The model is applied on a forward exchange contract, and different copulas and correlation factors are used in the stochastic process.
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Götz, Barbara [Verfasser], Rudi [Akademischer Betreuer] Zagst, Marcos [Akademischer Betreuer] Escobar, and Luis A. [Akademischer Betreuer] Seco. "Valuation of multi-dimensional derivatives in a stochastic covariance framework / Barbara Götz. Gutachter: Rudi Zagst ; Marcos Escobar ; Luis A. Seco. Betreuer: Marcos Escobar ; Rudi Zagst." München : Universitätsbibliothek der TU München, 2011. http://d-nb.info/1014412595/34.
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Ilg, Melanie Verfasser], Rudi [Akademischer Betreuer] Zagst, Ralf [Akademischer Betreuer] Werner, and Rüdiger [Akademischer Betreuer] [Kiesel. "Defaultable term structure models: macroeconomic impact and valuation of complex credit- and inflation-linked derivatives / Melanie Ilg. Gutachter: Ralf Werner ; Rüdiger Kiesel ; Rudi Zagst. Betreuer: Rudi Zagst." München : Universitätsbibliothek der TU München, 2013. http://d-nb.info/1036727947/34.
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Šotlíková, Lucie. "Obchodování s kreditními deriváty na světových finančních trzích." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81630.
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The thesis is focused on the process of trading in credit derivatives on the global financial markets. The first part deals with the history and the development of credit derivatives from the very beginning to the present and all factors that influenced and affected them during that time. Various derivative instruments are explained, in terms of their purpose, suitability for use and the risks arising from them. Mainy focus of the thesis is put on the selected stock markets (CME Group Inc., Eurex AG, NYSE Liff Holdings LLC). This section begins with their history, then it describes their structure and purpose. It explains stock market membership conditions and settlement of exchange contracts principles. The final part clarifies the role of credit derivatives in the financial crisis and the reasons that led to it. In the final part of the thesis organizations that regulate credit derivatives are described, in addition to regulation methods and aids, specifically in terms of new regulatory measures under Basel III and the organization of ISDA, which are also included. At the very end the possibilities of securitization and credit risk diversification are explained as well as methods of credit instruments valuation, which are demonstrated on an example of Credit Default Swap.
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Antas, Vilém. "Yield Curve Constructions." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-264627.
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The goal of this thesis is to analyze the mathematical apparatus of the most widespread methods used for the yield curves construction. It aims to introduce not only the various of construction models but also to describe the whole process of creation, while discussing the advantages and disadvantage of individual methods. The first chapter focus on the general theory and the use of the term structure of interest rates in practice. The second part deals with the construction process itself and describes the most frequently used methods. The last chapter then shows the real application of selected methods on given data set and the use of the constructed yield curves for interest rate derivative valuation too.
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Pilemalm, Robert, Kristofer Horkeby, and Fredrik Gavelin. "Analys och visualisering av optioner och andra finansiella instrument : Utveckling och studie av portföljhanteringssystem." Thesis, Linköpings universitet, Företagsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-65792.
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Bakgrund: Ett sätt att minska risker vid handel med finansiella instrument är att bygga portföljer. För att kunna hantera portföljer med olika finansiella instrument och valutor samt kunna hantera flera portföljer samtidigt, används portföljhanteringssystem. Studenter kan genom att använda sig av sådana system lära sig hur finansiella marknader fungerar. Kraven på ett portföljhanteringssystem är inte desamma som kraven på ett kommersiellt system och därför finns det ett behov att utveckla en modell för denna kontext. Syfte: Denna uppsats ämnar bygga en modell i PowerPlus Pro som studenter kan använda sig av för att befästa sina kunskaper och öka sin förståelse för hur finansiella instrument fungerar. Metod: För att bygga modellen har kvalitativ metod används och för att studera hur portföljhanteringssystem ska byggas och anpassas efter studenters behov har kvalitativa intervjuer använts. Slutsatser: Vår modell uppfyller de krav som ställts på den och är anpassad för undervisning på ett universitet genom att den är användarvänlig och pedagogiskt uppbyggd. Modellen lämpar sig inte för användning av markadsaktörer.<br>Background: A common strategy for minimizing market risk, when trading with financial instruments, is to build portfolios. In order to manage portfolios with different kinds of financial instruments and different currencies and to manage many portfolios at one time, systems for portfolio management are used. Student can with use of such systems learn how financial markets work. The requirements of a system for students are not the same as the ones of a system for commercial use are not the same and therefore there is a need to develop a model fitted to this context. Aim: The purpose of this bachelor thesis is to build a model in PowerPlus Pro, which students can use in order to confirm their knowledge of and understanding for the function of financial instruments. Method: To build the model a quantitative method has been used and to study how systems for portfolio management should be built and adapted to the needs of students has qualitative method been used. Conclusions: Our model satisfies the demand and the technical specifications that were us given and it is adapted to teaching of students, because it is user-friendly and pedagogic built. The model is not adequate for use of market actors.
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Hutton, J. P. "Fast valuation of derivative securities." Thesis, University of Essex, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282493.
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Bažant, Petr. "Ohodnocování finančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3927.
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Financial derivatives have been constituting one of the most dynamic fields in the mathematical finance. The main task is represented by the valuation or pricing of these instruments. This theses deals with standard models and their limits, tries to explore advanced methods of continuous martingale measures and on their bases proposes numerical methods applicable to derivatives valuation. Some procedures leading to elimination of certain simplifying assumptions are presented as well.
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Houry, Antonis. "Optimization in quasi-Monte Carlo methods for derivative valuation." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/8630.
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Computational complexity in financial theory and practice has seen an immense rise recently. Monte Carlo simulation has proved to be a robust and adaptable approach, well suited for supplying numerical solutions to a large class of complex problems. Although Monte Carlo simulation has been widely applied in the pricing of financial derivatives, it has been argued that the need to sample the relevant region as uniformly as possible is very important. This led to the development of quasi-Monte Carlo methods that use deterministic points to minimize the integration error. A major disadvantage of low-discrepancy number generators is that they tend to lose their ability of homogeneous coverage as the dimensionality increases. This thesis develops a novel approach to quasi-Monte Carlo methods to evaluate complex financial derivatives more accurately by optimizing the sample coordinates in such a way so as to minimize the discrepancies that appear when using lowdiscrepancy sequences. The main focus is to develop new methods to, optimize the sample coordinate vector, and to test their performance against existing quasi-Monte Carlo methods in pricing complicated multidimensional derivatives. Three new methods are developed, the Gear, the Simulated Annealing and the Stochastic Tunneling methods. These methods are used to evaluate complex multi-asset financial derivatives (geometric average and rainbow options) for dimensions up to 2000. It is shown that the two stochastic methods, Simulated Annealing and Stochastic Tunneling, perform better than existing quasi-Monte Carlo methods, Faure' and Sobol'. This difference in performance is more evident in higher dimensions, particularly when a low number of points is used in the Monte Carlo simulations. Overall, the Stochastic Tunneling method yields the smallest percentage root mean square relative error and requires less computational time to converge to a global solution, proving to be the most promising method in pricing complex derivatives.
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Zhou, Qixuan. "Dynamic moment analysis of non-stationary temperature data in Alberta." Thesis, Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010, 2010. http://hdl.handle.net/10133/3097.
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Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option.<br>64 leaves : map ; 29 cm
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Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.
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Sousa, Ana Isabel Amaro de. "Metodologias para mensurar a exposição ao risco de crédito de contraparte de derivados over--the-couter." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4452.
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Mestrado em Matemática Financeira<br>O Acordo de Basileia III prevê, além do aumento da qualidade e do nível de requisitos de capital, a revisão de métricas com vista a melhorar o nível de exposição ao Risco de Crédito de Contraparte (RCC). O objetivo deste trabalho é desenvolver metodologias para mensurar a exposição esperada ao RCC de derivados negociados fora de bolsa (Over-The-Counter – OTC), que consistem em contratos ligados ao futuro valor, ou situação, dos instrumentos subjacentes aos quais se referem. Neste contexto, a inovação do novo Acordo refere-se à introdução de um encargo de capital para cobrir o risco de perdas do valor de mercado do RCC esperado para os instrumentos derivados OTC. Estas potenciais perdas são denominadas Ajustamentos de Avaliação de Crédito (Credit Valuation Adjustment – CVA) e podem ser calculadas por diferentes métodos, dependendo para tal da aprovação do Banco de Portugal. Nas ilustrações, recorre-se frequentemente a Interest Rate Swaps, por serem o instrumento financeiro mais transacionado.<br>Basel III provides an increase of the quality and level of capital requirements, and also it presents a review of the metrics in order to improve the level of exposure to the Counterparty Credit Risk (CCR). In this framework I will develop methodologies to measure the expected exposure to the CCR of Over-the-Counter derivatives, which are contracts that are linked to the future value of the underlying instruments or situation to which they refer. In this context, Basel III innovation reports to the introduction of a capital charge to cover the risk of loss of the CCR Mark-to-Market expected value for OTC derivatives. These potential losses are called Credit Valuation Adjustments (CVA) and may be calculated using different methods, which must be approved by Banco de Portugal. There is a recurrent use of Interest Rate Swaps when providing examples, given that they are the most traded financial instruments.
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Apabhai, Mohammed Z. "Term structure modelling and the valuation of yield curve derivative securities." Thesis, University of Oxford, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.308683.
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Richardson, Lyle. "Liquid yield option notes (LYONS) : corporate objectives, valuation and pricing." Honors in the Major Thesis, University of Central Florida, 2001. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/299.
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This item is only available in print in the UCF Libraries. If this is your Honors Thesis, you can help us make it available online for use by researchers around the world by following the instructions on the distribution consent form at http://library.ucf.edu/Systems/DigitalInitiatives/DigitalCollections/InternetDistributionConsentAgreementForm.pdf You may also contact the project coordinator, Kerri Bottorff, at kerri.bottorff@ucf.edu for more information.<br>Bachelors<br>Business Administration<br>Finance
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Zeng, Tao. "Tax planning using derivative instruments and firm market valuation under clean surplus accounting." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/NQ56110.pdf.
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Bester, Hermine. "Developing a repeat sales property price index for residential properties in South Africa / H. Bester." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4565.
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In South Africa various financial institutions and independent vendors have developed
residential property valuation models to estimate the current value of historically traded
properties. A natural extension to these models has been to develop historical property price
indices. In this dissertation, three of the four approaches to developing property price indices
will be examined. Through back–testing and other statistical methods, the most accurate and
robust approach will be determined. The four major approaches available are the mean
valuation per suburb, the median valuation per suburb, the repeat sales approach and
hedonic regression. The mean valuation per suburb approach can be biased because of
outliers in property prices. However, outliers in property prices will not influence the median
valuation per suburb approach, but in cases where property values in a suburb have a
skewed distribution, the valuation amount could be distorted. Neither of the above
mentioned shortcomings influences the repeat sales or the hedonic regression approach. To
follow the hedonic regression approach, the characteristics of the property need to be
known. In South Africa, however, the available property data lacks detailed characteristics of
traded properties. This dissertation will therefore focus on the first three methods. The repeat
sales approach measures the growth in property prices by applying a generalized linear
model to properties that have traded more than once. This approach is only possible if there
is a representative amount of repeat sales able to fit a model. The focus of this project will be
on the repeat sales approach, but all three the approaches discussed will be analysed to
prove that the repeat sales approach is the most accurate in developing a property price
index for properties in South Africa.<br>Thesis (M.Sc. (Risk Analysis))--North-West University, Potchefstroom Campus, 2011.
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Miková, Tereza. "Finanční nástroje v účetnictví bank." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75486.
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Topic of the master thesis is the Financial Instruments in Bank Accounting. The master thesis looks at bookkeeping and accounting of financial instruments in international financial reporting standards context. The main reporting standards which are discussed in the paper are: IAS 32, IAS 39, IFRS 7 and IFRS 9. In the first part, the reporting standards impact on banks as commercial subjects, legislation of bank operations, financial instruments and accounting in both a national and international context are presented. The focus of master thesis is examined in the second and third sections where financial instruments are discussed in detail and their characteristics, initial recognition, subsequent measurement and accounting are also examined. The next topic is the issue of the reclassification of financial instruments and their impairment is discussed. The forth part of the thesis examines IFRS 7. The standard has claims on the disclosure of financial instruments in both the statement of financial position and statement of comprehensive income. IFRS 7 also has claims on related areas including disclosure of credit, liquidity and market risk. The last part deals with news in the examined area where the main focus is IFRS 9.
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Ribeiro, ClaÌudia Alexandra Gonçalves Correia. "Bridge methods and the valuation of derivative securities when the underlying follows a LeÌvy process." Thesis, University of Warwick, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.429742.
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Quelhas, Ana Paula do Canto Lopes Pires Santos. "Longevidade e investimento: reflexão em torno dos fundos de pensões em Portugal." Doctoral thesis, Universidade Portucalense, 2015. http://hdl.handle.net/11328/1372.
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Tese de Doutoramento em Gestão<br>O presente trabalho envolve dois objetivos principais: o de aprofundar o
conhecimento do sector dos fundos de pensões em Portugal e o de examinar o conceito
de risco de longevidade nas suas várias vertentes, particularmente no modo como o
mesmo afeta as decisões de investimento no contexto dos fundos de pensões.
Primeiramente, sustentando-nos, essencialmente, numa metodologia descritiva e
de revisão da literatura, procurou-se avaliar o modo de interação entre o sistema público
e os fundos de pensões nacionais em matéria de provisão de pensões de velhice. A
pesquisa conduzida permitiu evidenciar as particularidades subjacentes ao caso
nacional, entre as quais destacamos: o caráter tardio da maturação do sistema público de
pensões, bem como a relativa generosidade que, em tempo, terá marcado o sistema de
proteção social português; o aparente paradoxo que carateriza a transferência dos ativos
de alguns dos fundos de pensões para a esfera da segurança social – tal como a
responsabilidade de pagamento das pensões que os mesmos visavam financiar –
operação esta que parece ter ocorrido ao arrepio da tendência anteriormente observada,
mormente no conteúdo do texto das sucessivas Leis de Bases da Segurança Social de
2000, de 2002 e de 2007, onde se encorajava o recurso a esquemas privados de
previdência; a fraca transversalidade dos fundos de pensões nacionais, com o total de
ativos a representar, em 2013, cerca de 9% do PIB e com o sector bancário a deter cerca
de 73% dos fundos profissionais; a relevância do risco de longevidade, o qual não
constitui um atributo exclusivo dos sistemas públicos de pensões, mas que se torna
particularmente visível no âmbito dos fundos fechados, impondo pressões consideráveis
nos níveis de financiamento dos respetivos planos.
Seguidamente, tomando a composição do investimento de 56 fundos nacionais
destinados ao financiamento de planos de benefício definido, entre 2011 e 2013, por
intermédio de análise bivariada, testaram-se algumas hipóteses de investigação,
exercício este que permitiu evidenciar a aparente desconexão entre a dimensão dos
fundos e a cobertura das responsabilidades afins, bem como a antiguidade e o montante
das responsabilidades associadas a cada fundo. Para além disso, explorou-se a eventual
existência de «comportamentos de manada» ao nível da composição do investimento
dos mesmos fundos, a qual revelou, contudo, ser pouco significativa, o que se poderá
dever à reduzida dimensão da amostra. Os resultados obtidos sugerem alguma
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atipicidade dos fundos de pensões nacionais, os quais parecem ter uma dimensão
redutora enquanto meros produtos de investimento, esvaziando-se a sua vertente
previdencial. Uma vez sublinhada a relevância do risco de longevidade no contexto dos
fundos de pensões, percorrem-se algumas das possibilidades de cobertura, desde os
denominados instrumentos tradicionais até aos instrumentos do life-market, ou seja, os
longevity-linked assets. Porém, um dos contributos mais relevantes do presente trabalho
é o que resulta do desenvolvimento de um modelo multiperíodo, que permite a
otimização da taxa de contribuição a realizar, ao longo de T períodos de tempo, para um
plano de benefício definido e que se afigura como uma alternativa aos tradicionais
modelos de valoração.<br>This work is committed with two main goals: to improve the knowledge
concerning Portuguese pension plans and pension funds, and to examine the concept of
longevity risk, taking into consideration its multiple features, mainly the way how it
affects the investment process in the context of pension funds.
First, based on descriptive and literature review methodologies, the interaction
between the state action and the pension funds action in the context of old-age pension
provision is scrutinized. This research allowed us to highlight the peculiarities
underlying the Portuguese case, such as: the late maturation of the Portuguese pension
system, and also the relative generosity that, at a certain point, have marked the
Portuguese social protection system; the possible paradox that involves the transfer of
the some pension funds’ assets to the sphere of social security – at the responsibility to
pay the relates pensions as well – which operation seems to be contradictory with the
tendency previously observed, taking into consideration the text of the successive Basic
Laws of Social Security in 2000, 2002 and 2007, within which the use of private
pension schemes was encouraged; the weak representativeness of national pension
funds, with total assets corresponding, in 2013, roughly to 9% of GDP, and with the
banking sector holding about 73% of professional pension funds; the relevance of
longevity risk, which undermines not only the public pension system, becoming
particularly visible within the closed funds, and imposing huge pressure on the own
plans funding levels.
Afterwards, taking into consideration 56 national pension plans’ investment
composition, from 2011 to 2013, using bivariate analysis, some research hypotheses are
tested. This exercise highlighted the apparent disconnect between the funds’ size and
coverage of related responsibilities, and also between the matureness and the amount of
liabilities associated with each fund. Furthermore, the possible existence of herd
behaviour between these funds at the level of their investment composition is also
explored. This possibility did not reveal to be significant, may be due to the sample
dimension. These results suggest some atypicality of national pension funds, which
seem to only have a financial dimension, disregarding their welfare features. As long
the relevance of longevity risk in the context of pension funds has been emphasized,
some of hedging possibilities are discussed, from the usually named traditional
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instruments to the life-market instruments, the so-called longevity-linked assets.
However, one of the most relevant contributions of this work is the development of a
multi-period model, which allows us to optimize the contribution rate, over T periods of
time, for a defined benefit plan and may be seen as an alternative approach to traditional
valuation models.<br>Orientação: Prof. Doutor Luís Miguel da Mata Artur Dias Pacheco
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Šedivý, Jan. "Vliv rizika protistrany na oceňování derivátů a jeho dopady na chování bank." Doctoral thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-205440.
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In the thesis we analyse changes in derivatives valuation after the financial crisis and their impact on behaviour of financial institutions. We focus mainly on the changes related to counterparty credit risk and valuation adjustments. We describe in economical terms the relationship between counterparty credit risk and traditional credit risk, we also introduce management and modelling of this risk. In second part of the study we analyse the regulatory framework, in particular new capital requirement and mandatory central clearing of OTC derivatives. We discuss inconsistencies between regulatory and internal approaches to the counterparty risk measurement and also significant systemic risk connected to central counterparties. Finally we investigate the impact of changes in derivatives valuation on banks in both the EU and the Czech Republic. Specifically we are interested in optimal approach to entering into derivative trade.
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Schwarz, Daniel Christopher. "Price modelling and asset valuation in carbon emission and electricity markets." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316.
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This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.
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Naujokat, Felix [Verfasser], Ulrich [Akademischer Betreuer] Horst, Peter [Akademischer Betreuer] Bank, and Abel [Akademischer Betreuer] Cadenillas. "Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation / Felix Naujokat. Gutachter: Ulrich Horst ; Peter Bank ; Abel Cadenillas." Berlin : Humboldt Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2011. http://d-nb.info/1017494606/34.
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