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Dissertations / Theses on the topic 'Financial derivative securities'

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Published: 4 June 2021

Last updated: 5 February 2022

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1

Wang, Mulong. "Financial derivatives in corporate risk management." Access restricted to users with UT Austin EID, 2001. http://wwwlib.umi.com/cr/utexas/fullcit?p3036610.

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2

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&amp.

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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 th

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3

Chew, Tong-Gunn. "Incentives for voluntary disclosures of derivative financial instruments by financial institutions in Singapore." Monash University, Dept. of Accounting and Finance, 2004. http://arrow.monash.edu.au/hdl/1959.1/5301.

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4

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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5

Chan, T. M., and 陳祖明. "Risk and reward in the use of financial derivatives: risk and benefits relating to portfolio management." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1995. http://hub.hku.hk/bib/B31266368.

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6

Lau, Ka Wo. "Numerical algorithms for exotic financial derivatives /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?COMP%202004%20LAU.

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Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.<br>Includes bibliographical references (leaves 120-126). Also available in electronic version. Access restricted to campus users.

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7

McAnally, Robert C. "Numerical techniques for convertible bond pricing and a graph-theoretic approach to contingent claims analysis." Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267094.

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8

Berg, Stefan. "Kreditderivate im deutschen Privatrecht /." Frankfurt, M. ; Berlin Bern Bruxelles New York, NY Oxford Wien : Lang, 2008. http://d-nb.info/990412121/04.

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9

Mpala, Nqobile Natasha. "A comparative analysis of derivative regulation following the global financial crisis : an emerging markets perspective." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1018660.

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The international financial environment has become riskier due to the recent developments in product offerings and failure of regulation to keep abreast with these changes. The Global Financial Crisis exposed inadequacies of regulation, thus consensus on the need for comprehensive and uniform regulation was made by G-20 member states. Imposing exchange trading, clearing, reporting and capital requirements on the derivatives market are some of the ways of dealing with the problems caused by lax regulatory oversight. In this study, through the comparative analysis of derivatives regulation in So

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10

Solana, Javier. "All that glitters is not gold : the re-use of securities collateral as a source of systemic risk." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:4f5df3ab-ca74-425f-9e35-9a25cd8336b6.

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Since the 1980s, regulators in the U.S. and the U.K. have protected the collateral taker's right to re-use securities collateral in securities financing and OTC derivatives markets on the understanding that it would promote liquidity and credit growth, and reduce systemic risk. However, this rationale was incomplete: it failed to acknowledge the full implications of collateral re-use for systemic risk. In this dissertation, I aim to complete that understanding by illustrating how the re-use of securities collateral in those markets can aggravate systemic risk. In particular, I describe two eff

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11

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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12

Goulart, André Moura Cintra. "Gerenciamento de resultados contábeis em instituições financeiras no Brasil." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-17032008-124153/.

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As instituições financeiras apresentam, como particularidade, a dependência de recursos de terceiros para o desenvolvimento de suas atividades, assumindo importância a realização de captações a baixos custos. Para tanto, é fundamental a manutenção de imagem de solidez financeira, eficiência de desempenho e boa reputação. Neste contexto, entende-se que a suavização de resultados (income smoothing) é prática de gerenciamento de resultados contábeis (GR) de especial interesse para os bancos. Isto decorre da relevância, no segmento bancário, de transmitir imagem de constância de resultados, evitan

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13

Koray, Zoé Zeynep Can. "Le préjudice de l'actionnaire." Thesis, Paris 2, 2018. http://www.theses.fr/2018PA020072.

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Le préjudice de l'actionnaire est un sujet encore peu étudié en France alors qu'il soulève de nombreuses interrogations. A l'inverse de nombre de solutions reçues dans les droits étrangers, le droit français n'admet que peu sa réparation tant il reste lié à la distinction jurisprudentielle fondamentale entre préjudice purement personnel (réparable) et préjudice simple corollaire du préjudice social (non réparable). Pourtant, cette distinction n'est pas des plus satisfaisantes ni sur le plan théorique, ni sur le plan pratique. Elle est en outre remise partiellement en cause dès lors que le préj

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14

Kuchař, Tomáš. "Metodika účetního vykazování cenných papírů a finančních derivátů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223421.

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This master’s thesis discusses the accounting of securities and financial derivatives in accordance with the Czech accounting legislation and the International Financial Reporting Standards. The goal is to suggest the methodology based on the performed analysis of differencies between the both accounting systems. The parts of the master’s thesis are the processing of the theoretical data, the analysis of differencies and their application to the case studies with the assessment of their influence on the basic indicators of the financial analysis.

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15

Skořepa, Pavel. "Nástroje finančního trhu - cenné papíry." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221602.

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This work deals with the tools of financial market. It is demonstrated to a reader, what is the financial market composed from, how it actually works and what are the characteristics of securities, why the securities are used, what are the advantages and disadvantages. We are going to focus on field of mutual funds, as a part of collective investment. Thanks to investment questionary is made a research to find out which strategy is prefered by citizens. We are going to suggest the optimal financial portfolio to this strategy by the program GRANT. We are going to use the fuzzy logic characteris

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16

Gourdy, Hélène. "La couverture sur les marchés financiers." Thesis, Paris 2, 2019. http://www.theses.fr/2019PA020020.

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Depuis la crise de 2008, les acteurs des marchés cherchent à accroître l’efficacité de leur protection contre les risques spécifiques nés des opérations financières auxquels ils s’exposent quotidiennement. Parallèlement, le législateur doit assurer l'objectif de stabilité financière. La couverture, instrument singulier, fruit de l’imagination des praticiens, s’inscrit depuis quelques années au confluent de ces deux finalités distinctes. Cette double utilisation opacifie cette notion et soulève de nombreuses interrogations.Initialement conçue comme un simple dépôt de garantie complété par des v

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17

Abadou, Mostafa. "Le système bancaire marocain après la crise financière de 2008 : difficultés d’adaptation des techniques de régulation européennes et nécessité de mise en place des mécanismes adaptés." Thesis, Sorbonne Paris Cité, 2017. http://www.theses.fr/2017USPCB169.

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Pour remédier aux nombreuses insuffisances et défaillances constatées dans le système de régulation et de surveillance du secteur financier, post crise, de nombreuses réformes institutionnelles ont été réalisées à l'initiative des organismes et autorités de régulation bancaire et financière aussi bien au niveau national qu'au niveau international. Le Royaume du Maroc, en vertu de son statut avancé, signé en octobre 2008, a fait un réel effort pour réduire les différences entre les législations marocaine et européenne. Il a consenti à se rapprocher des normes européennes sur le plan législatif

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18

"Risk management on financial derivatives." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888632.

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by Yau Tak-Kin, Thomas.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.<br>Includes bibliographical references (leaves [52]).<br>ABSTRACT<br>TABLE OF CONTENT<br>Chapter I --- INTRODUCTION --- p.1<br>Development of financial derivatives --- p.1<br>Chracteristics of financial derivatives --- p.2<br>Chapter II --- RISK ENCOUNTERED BY BUSINESS AND ITS MANAGEMENT --- p.3<br>Chapter III --- SELECTED DERIVATIVE CASES --- p.7<br>Proctor & Gamble --- p.7<br>Orange County --- p.10<br>Barings Bank plc --- p.12<br>Chapter IV --- CLASSIFICATION OF RISK --- p.18<br>Credit risk --- p.18<

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19

"Financial engineering: the functions of derivatives in financial risk management." Chinese University of Hong Kong, 1995. http://library.cuhk.edu.hk/record=b5888272.

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jointly presented by Lau Chi Yuen, Joseph, Wong Chi Ho.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1995.<br>Includes bibliographical references (leaves 92-96).<br>ABSTRACT --- p.ii<br>TABLE OF CONTENTS --- p.iv<br>Chapter CHAPTER I --- INTRODUCTION --- p.1<br>Chapter CHAPTER II --- THE MOTIVATION OF DERTVATIVES TRANSACTIONS --- p.3<br>Chapter CHAPTER III --- MAJOR TYPE OF DERIVATIVES TRADING IN EXCHANGE MARKET AND OTC MARKET IN HONG KONG --- p.7<br>Exchange Traded Derivatives --- p.7<br>Index Option --- p.7<br>Strategies of option trading --- p.9<br>Ratio covered writing ---

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20

"Monte Carlo Method for financial derivatives valuation." Thesis, 2002. http://library.cuhk.edu.hk/record=b6073934.

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As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options by using the method. Secondly, the basic idea of using the method in computing option price is described. Thirdly, pricing vanilla options is introduced. Fourthly, we discuss some techniques of improving computing accuracy. They include antithetic variables, control variate methods and importance sampling.<br>Fifth, we study in detail pricing option problems by using the Monte Carlo method. Then we present a new method on pricing American option, by which, the required memory in computation can

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21

Su, Qimou 1979. "Essays on derivatives pricing in incomplete financial markets." Thesis, 2007. http://hdl.handle.net/2152/3807.

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22

Seon, Junghoon. "The Asian financial crisis the role of derivative securities trading and foreign investors /." 2001. http://catalog.hathitrust.org/api/volumes/oclc/51891710.html.

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23

Mao-Fu, Kao, and 高茂富. "A Research on the Transaction Behavior of Derivative Financial Instrument in Taiwan''s Financial and Securities Industry." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/65378028461702489327.

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碩士<br>國立中興大學<br>企業管理研究所<br>86<br>On derivatives market, banks and securities firms playan important role. This study''s purposes are：1.To find out the transaction behavior and opinions of DFI in Taiwan''s financial and securities industry. 2.To find out the transaction behavior and opinions of DFI in different kinds of transaction pattern. 3.To find out the relation between firm''s scale, operating performance and different kinds of transaction pattern. The scope of this study includes 46 local banks, 44 foreign banks''s Taiwan branch and 52 comprehensive securities firms. This study uses SPS

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24

"Analytic approximations to the free boundary and multi-dimensional problems in financial derivatives pricing." 2014. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291256.

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This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given explicitly, the location of the free boundary is unknown and can only be determined implicitly by imposing continuity conditions on the solution. Two specific problems are studied in details, namely the valuation of fixed-rate mortgages and CEV American options. The second type is the multi-dimensio

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25

Lourens, Karina. "Predicting extreme losses in the South African equity derivatives market." Thesis, 2014. http://hdl.handle.net/10210/11212.

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M.Com. (Financial Economics)<br>This study investigates the best measure of extreme losses in the South African equity derivatives market, and applies this to estimate the size of a default fund for Safcom, the central counterparty (CCP) for exchange-traded derivatives in South Africa. The predictive abilities of historic simulation Value at Risk (VaR), Conditional VaR (CVaR), Extreme VaR (EVaR) calculated using a Generalised Extreme Value (GEV) distribution and stress testing are compared during historic periods of stress in this market. The iterative cumulative sum of squares (ICSS) algorith

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26

Botha, Erika. "The use of derivatives by South African agricultural co-operatives to hedge financial risks." Diss., 2005. http://hdl.handle.net/10500/578.

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The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades. The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks. The research shows that most co-operatives are exposed to financial risks through d

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27

Siieh, Yungde, and 謝永德. "The Application of Financial Engineering on Interest Rate Derivative Securities: Using Three Term Structure Models on the Valuation of the Interest Rate Cap Embedded in Far East Textile'' s #62 Corporat." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/02841658572062592553.

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碩士<br>國立臺灣大學<br>商學研究所<br>85<br>The great development of interest rate derivative securities in the financial market makes its evaluation an important issue. Traditional optionpricing theories and term structure theories have disadvantages while evaluatingthe price of interest rate options. Thus, new interest rate models rise becauseof demands. This study applies three different term structure models on the valuation ofthe cap embedded in Far East Textile''s #62 corporation bond, and sensiti

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28

Chang, Hsueh-Ling, and 張雪玲. "The Research on Over-the-Counter Trading of Financial Derivatives by Securities Firms in Taiwan Financial Markets." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/11156532349931869834.

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碩士<br>東吳大學<br>會計學系<br>95<br>In recent years, the focus of international financial markets is derivative instruments. People notice the financial derivatives because the affairs derive from handling the derivatives improperly and suffering a great deal loses. The derivatives are the instruments of financial innovation. They do not only bring loss, otherwise they would not be so popular in the capital markets. Through handling derivatives properly, they can become effective instruments and be used for reducing the financing cost, diverse the funding sources and improve the return on assets. Fina

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29

Pospíšilová, Karolína. "Právní problematika operací s cennými papíry a finančními deriváty." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-338653.

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1 Abstract Legal issues of transactions with securities and financial derivatives The aim of this thesis is to analyse valid legal regulations concerning securities and financial derivatives, to compare it with regulations valid before recodification of Czech private law as well as to describe operation of the financial market, where transactions with securities and financial derivatives take place, through analysis of capital market regulation and supervision. The thesis is composed of three main chapters. Chapter One is focused on a definition of the financial market and its structure and fu

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