Dissertations / Theses: 'Hedging of contingent claims'

1

Potter, Christopher William. "Hedging contingent claims in complete and incomplete markets." Thesis, University of Oxford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436988.

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Valliant, dit Massart Noel. "Mean-variance hedging and pricing of contingent claims in incomplete markets." Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.297287.

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3

Badikov, Sergey. "Infinite-dimensional linear programming and model-independent hedging of contingent claims." Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/59069.

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We consider model-independent pathwise hedging of contingent claims in discrete-time markets, in the framework of infinite-dimensional linear programmes (LP). The dual problem can be formulated as optimization over the set of martingale measures subject to market constraints. Absence of model-independent arbitrage plays a crucial role in ensuring that both the primal and the dual problems are well posed and there is no duality gap. In fact we show that different notions of model-independent arbitrage are required to prove duality results in various settings. We then specialize this duality theory to the situation where European Call options are traded on the market. In particular we consider hedging portfolios that consist of static positions in traded options and a dynamic trading strategy. The dual variables are then constrained to martingale measures consistent with prices of traded options. When only finitely many Call options are traded, the notion of weak arbitrage introduced in Davis and Hobson (2007) is sufficient to ensure absence of duality gap between the primal and the dual problems. In this case the set of feasible dual variables is not closed, and extrapolation of Call option prices (equivalently of the implied volatility smile) is required. We finally provide numerical examples to support our theoretical claims. By discretizing the infinite-dimensional LPs, we compute arbitrage-free price bounds for Forward-Start options. We further perform a sensitivity analysis of the aforementioned extrapolation and find that in the case of Forward- Start options it does not significantly influence arbitrage bounds obtained by numerically solving discretized problems.

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4

Manzini, Muzi Charles. "Stochastic Volatility Models for Contingent Claim Pricing and Hedging." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_8197_1270517076.

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The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo
smile&rdquo
curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.

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5

Whitehead, Peter Malcolm Scot. "On the choice and implementation of models for the pricing and hedging of interest rate contingent claims." Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325338.

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6

Siqueira, Vinicius de Castro Nunes de. "Métodos de simulação Monte Carlo para aproximação de estratégias de hedging ideais." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-30032016-101312/.

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Neste trabalho, apresentamos um método de simulação Monte Carlo para o cálculo do hedging dinâmico de opções do tipo europeia em mercados multidimensionais do tipo Browniano e livres de arbitragem. Baseado em aproximações martingales de variação limitada para as decomposições de Galtchouk-Kunita-Watanabe, propomos uma metodologia factível e construtiva que nos permite calcular estratégias de hedging puras com respeito a qualquer opção quadrado integrável em mercados completos e incompletos. Uma vantagem da abordagem apresentada aqui é a flexibilidade de aplicação do método para os critérios quadráticos de minimização do risco local e de variância média de forma geral, sem a necessidade de se considerar hipóteses de suavidade para a função payoff. Em particular, a metodologia pode ser aplicada para calcular estratégias de hedging quadráticas multidimensionais para opções que dependem de toda a trajetória dos ativos subjacentes em modelos de volatilidade estocástica e com funções payoff descontínuas. Ilustramos nossa metodologia, fornecendo exemplos numéricos dos cálculos das estratégias de hedging para opções vanilla e opções exóticas que dependem de toda a trajetória dos ativos subjacentes escritas sobre modelos de volatilidade local e modelos de volatilidade estocástica. Ressaltamos que as simulações são baseadas em aproximações para os processos de preços descontados e, para estas aproximações, utilizamos o método numérico de Euler-Maruyama aplicado em uma discretização aleatória simples. Além disso, fornecemos alguns resultados teóricos acerca da convergência desta aproximação para modelos simples em que podemos considerar a condição de Lipschitz e para o modelo de volatilidade estocástica de Heston.
In this work, we present a Monte Carlo simulation method to compute de dynamic hedging of european-type contingent claims in a multidimensional Brownian-type and arbitrage-free market. Based on bounded variation martingale approximations for the Galtchouk-Kunita- Watanabe decomposition, we propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to any square-integrable contingent claim in complete and incomplete markets. An advantage of our approach is the exibility of quadratic hedging in full generality without a priori smoothness assumptions on the payoff function. In particular, the methodology can be applied to compute multidimensional quadratic hedgingtype strategies for fully path-dependent options with stochastic volatility and discontinuous payoffs. We illustrate our methodology, providing some numerical examples of the hedging strategies to vanilla and exotic contingent claims written on local volatility and stochastic volatility models. The simulations are based in approximations to the discounted price processes and, for these approximations, we use an Euler-Maruyama-type method applied to a simple random discretization. We also provide some theoretical results about the convergence of this approximation in simple models where the Lipschitz condition is satisfied and the Heston\'s stochastic volatility model.

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7

Popovic, Ray. "Parameter estimation error: a cautionary tale in computational finance." Diss., Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/34731.

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We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation distributions and valuation formulae for an assortment of European contingent claims that are in accord with the basic properties of the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an assortment of European option portfolios that are based on the direct estimator of the volatility of the GBM process. Our approach to the option sensitivities - the Greeks - uses the likelihood function technique. This allows us to obtain computable results for the technically more-complicated formulae associated with our post-estimation process. We discuss an assortment of difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae.

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8

Eliasson, Daniel. "Game contingent claims." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103080.

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Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). In incomplete markets, the neutral pricing approach of Kallsen and Kühn (2004) can be used. In Part I of this thesis, we introduce GCCs and their pricing, and also cover some basics of mathematical finance. In Part II, we present a new algorithm for valuing game contingent claims. This algorithm generalises the least-squares Monte-Carlo method for pricing American options of Longstaff and Schwartz (2001). Convergence proofs are obtained, and the algorithm is tested against certain GCCs. A more efficient algorithm is derived from the first one using the computational complexity analysis technique of Chen and Shen (2003). The algorithms were found to give good results with reasonable time requirements. Reference implementations of both algorithms are available for download from the author’s Github page https://github.com/del/ Game-option-valuation-library

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Grimwood, Russell Holden. "The numerical evaluation of contingent claims." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269125.

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10

Li, Anlong. "Three essays on contingent claims pricing." Case Western Reserve University School of Graduate Studies / OhioLINK, 1992. http://rave.ohiolink.edu/etdc/view?acc_num=case1056137244.

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11

Rabeau, Nicholas Marc. "Probabilistic approach to contingent claims analysis." Thesis, Imperial College London, 1996. http://hdl.handle.net/10044/1/8195.

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Choong, Lily Siew Li. "Default and market risks of contingent claims." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264668.

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Yin, Wen Xun. "Credit contingent claims valuation under imperfect market conditions." Thesis, Imperial College London, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271663.

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14

Alexandropoulos, Constantinos Angelos. "Optimal pricing of contingent claims in incomplete markets." Thesis, Imperial College London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415887.

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15

Craigwell, Roland Clairmonte. "Essays on credit rationing using contingent claims analysis." Thesis, University of Southampton, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.239452.

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16

Klebe, Jesse Daniel. "Optimal Inventory Strategy Under Risk: A Contingent Claims Approach." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29792.

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Inventory management in the agriculture industry involves many sources of risk in terms of demand uncertainty as well as uncertain margins. Divulging an optimal inventory strategy can prove cumbersome to logistics managers. In this thesis, inventory is viewed as a real option on the ability to operate. Contingent claims inventory (CCI) analysis, paired with stochastic binomial real option valuation, provides a model which values the real option embedded in holding inventory and iterates the purchasing strategy until expected profit is maximized. This framework is applied to three industry cases pertaining to: wheat flour milling, fertilizer merchandising, and bulk shipments via primary rail contracts.

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17

Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.

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In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a low level of risk. For companies that might engage in costly hedging activities on the futures market, the benefits of creat- ing a contingent hedge are several. These include creating an optimized portfolio that minimizes risk and avoid trading contracts on futures markets that would incur hefty transaction costs and risks. Using quantitative financial models, product portfolio compositions are generated and compared with the returns and risks profile of individual commodities, as well as the actual product portfolio compositions of publicly traded mining companies. Us- ing Modern Portfolio Theory an efficient frontier is generated, yielding two inde- pendent portfolios, the minimum risk portfolio and the tangency portfolio. The Black-Litterman model is also used to generate yet another portfolio using a Bayesian approach. The portfolios are generated by historic time-series data and compared with the actual future development of commodities; the portfolios are then analyzed and compared. The results indicate that the minimum risk portfolio provides a signif- icantly lower risk than the compositions of all mining companies in the study, as well as the risks of individual commodities. This in turn will lead to several benefits for company management and the firm’s shareholders that are discussed throughout the study. However, as for a return-optimizing portfolio, no significant results can be found. Furthermore, the analysis suggests a series of improvements that could potentially yield an even greater result. The recommendation is that mining companies can use the methods discussed throughout this study as a way to generate a costless contin- gent hedge, rather than engage in hedging activities on futures markets.

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18

Darsinos, Theofanis. "The distribution of options prices with applications to corporate contingent claims." Thesis, University of Cambridge, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.619718.

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19

Babbs, Simon Howard. "The term structure of interest rates : stochastic processes and contingent claims." Thesis, Imperial College London, 1990. http://hdl.handle.net/10044/1/8728.

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20

Chiang, Derek Mi-Hsiu. "Contingent claims analysis to irreversible, non-tradable output investment problems under uncertainty." Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312138.

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21

Cesari, R. "Risk and equilibrium prices of contingent claims with application to Italian securities." Thesis, University of Oxford, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.381791.

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22

Chang, Shou-Wei. "Valuing the firm and its equity : a cash flow contingent claims approach." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.266522.

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23

Labre, Marcelo. "Pricing contingent claims on credit and carbon single and multiple underlying assets." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/5941.

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This thesis proposes alternative ways to price contingent claims written on portfolios of credit instruments as well as on carbon underlying assets. On the first topic of this research we tackle the pricing of Collateralized Debt Obligations (CDOs) by introducing two different approaches through the application of respectively Johnson SB distributions and entropy optimization principles, in contrast to market standard pricing approaches based on variations of the Gaussian copula model. The relevance of this topic is in line with the events that unfolded during the “credit crunch” of mid-2007 to early 2009, when CDOs made headlines as being responsible for more than $542 billion in losses through writedowns by financial institutions. On the second topic we propose a pricing methodology for Emission Reduction Purchase Agreement (ERPA) contracts. These are instruments based on carbon as an asset class and created by the emergence of an international carbon market that followed the adoption of the Kyoto Protocol (KP) to the United Nations Framework Convention on Climate Change (UNFCCC) in December 1997. ERPAs are of vital importance to the function of KP’s market mechanisms and the carbon markets at large as they formalize transactions of emissions reduction offsets between sellers and buyers, more specifically transactions involving Certified Emission Reductions (CERs). We propose a pricing methodology based on stochastic modeling of CER volume delivery risk and carbon prices as the two main drivers underlying ERPAs, and apply it to a case study on a run-of-river hydro power CDM project activity in China.

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Hartell, Jason. "EARTHQUAKE RISK IN INDONESIA: PARAMETRIC CONTINGENT CLAIMS FOR HUMANITARIAN RESPONSE AND FINANCIAL INSTITUTION RESILIENCY." UKnowledge, 2014. http://uknowledge.uky.edu/agecon_etds/23.

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This dissertation explores the use of an index based contingent claims mechanism against earthquake risk in Indonesia. It focuses on time critical financing needs of international humanitarian relief organizations, and on efforts to improve the resiliency of geographically constrained financial institutions whose clientele are exposed to disaster risk. The approach uses measures of ground motion intensity as the basis for the index. The humanitarian response mechanism provides a new way for private sector partners to participate and gain visibility in their support of principled humanitarian funding. Index based contingent claims for local banks are shown to enhance their ability to recover and continue lending to the community after an event. Financial risk management may also substitute for a portion of the lender's precautionary capital buffer, enabling greater financial inclusion. Wholesale lenders with local bank networks having earthquake exposure can enhance these effects by offering group policies.

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25

Mehrotra, Shiv Nath. "Contingent claims analysis of optimal investment decision making in the management of timber stands." [Gainesville, Fla.] : University of Florida, 2006. http://purl.fcla.edu/fcla/etd/UFE0015611.

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26

Tepper, Yaniv. "Real options and affordable alternatives--a contingent claims approach to the economics of ownership." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/45732.

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Botha, Russel John. "A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/17171.

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Bibliography: pages 190-209.
This research proposed to identify the most accurate method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when calculating volatility over a one year historical period that included the actual rights trading period. The hypothesis regarding trading volume showed that there is a significant impact of trading volume on the estimation of accurate option prices. The filter rule of rejecting rights prices below 10 cents and 100 cents also improved the results thus showing a bias for lower priced rights to be incorrectly valued and possibly some inefficiency in this sector of the market.

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28

Jingyi, Liu. "Hedging and pricing European-type claims on non-traded asset using utility maximization." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/7754.

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In our thesis, we consider the problem facing a risk-averse agent who owns a traded asset and a non-traded asset simultaneously. The agent wishes to know how to price and hedge the claims on the non-traded asset. Under the assumption that agents always maximize their expected utility of terminal wealth, utility indifference pricing has been adopted for this problem. Our contributions are presented as a series of Thesis Results when addressed in the thesis. In Chapter 2, we discover that the restriction on the utility function for Zariphoupoulou's analytical solution of the non-traded asset problem is the requirement that the utility function belongs to one of two classes of generalized utility functions. When an analytical formula is not available, we require a more efficient numerical technique. In Chapter 3, we present two new finite difference approximation algorithms, one linear and one nonlinear. The convergence proof of the linear algorithm is established. The proof of the nonlinear algorithm is supported by a local convergence test and a numerical comparison with the analytical solution. In Chapters 4 and 5, we show that the principle of utility indifference pricing can be transformed into sound and practical solutions of two new financial economics problems. In Chapter 4, we focus on a treasury interest risk management problem. We arrive at a useful financial recommendation for a strategic fixed-floating interest rate mixture decision. In Chapter 5, we create a new financial agricultural derivative product. We use the sugar market as an example and apply the utility indifference pricing method to pricing and hedging this agriculture contingent claim. Since a geometric Brownian motion for the underlying asset process assumption is inconsistent with the statistical behavior of the sugar market, we develop a fourth-moment approximate utility indifference pricing model by using a statistics series expansion method.

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29

Ekvall, Niklas. "Studies in complex financial instruments and their valuation." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1993. http://www.hhs.se/efi/summary/358.htm.

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30

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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31

Smith, Michael Anthony. "Information efficiency in markets for state contingent claims : a study of British horse race betting." Thesis, Nottingham Trent University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441475.

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The thesis reports a major empirical analysis of information efficiency in UK horse race betting markets. A range of tests for weak- and semi-strong efficiency in bookmaker and betting exchange markets was performed, in relation to a dataset of bookmaker data for 500 races; and a further dataset of matched bookmaker and exchange odds for 700 races. Final bookmaker odds were found to be semi-strong efficient in respect of media forecast information, although evidence of semi-strong and weak-form inefficiencies was found in respect of early morning odds. A transaction cost/information model of the favourite-Iongshot bias was tested in relation to matched exchange and bookmaker data. Employing the Shin's z measure, the empirical validity of this model was confirmed, with bias found to be greater in bookmaker markets than in the exchanges. In both markets bias was found to be inversely related to the amount of information publicly available to bettors about the horses competing in races. Further, it was shown that the transaction cost/information model explained bias in the sample better than risk preference theories, and was also able to account for previous findings of bias in a range of market contexts. Employing a conditional logistic regression model, betting exchange odds adjusted for bias were found to be better predictors of race outcomes than the corresponding bookmaker odds, contrary to previous empirical results. The contradiction was explained in terms of the different composition of market traders in the respective markets studied. Finally, evidence of profitable returns to a quasi-arbitrage trading strategy employed to exploit weak-form inefficiencies, arising from the existence of parallel sets of odds, was reported. A number of potential further research opportunities arise from the thesis, not least in respect of insider trading activity, an issue which was not directly addressed by the current research.

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32

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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33

Yu, Wing Tong Bosco. "Interest rate swaps : why do they exist and how should they be priced?" Thesis, University of Southampton, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.326617.

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34

Soldatos, Orestes. "Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8552/.

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Reconstruction and deregulation in the international power markets has let prices to be determined by the fundamental rules of Supply and Demand, which brought a substitution from Supply Risk pre-regulation, to Price risk, thus increasing the necessity of hedging using derivatives such as futures and options and therefore brought the issue of pricing these derivatives into focus. However the traditional approaches for the pricing of derivatives are not applicable to electricity due to the unique features of the power market such as the fact that electricity is not storable. Under these circumstances, arbitrage across time and space is limited in the electricity market. As a consequence there is a need for a good model that is able to capture the dynamics of the electricity spot prices for the purposes of Derivatives pricing and Risk Management. In this thesis we propose three different spot models for the Scandinavia electricity market; First, we propose a seasonal affine jump diffusion spike model, which can distinguish the behaviour of electricity spot prices between normal periods and periods when spikes occur. Second, we propose a seasonal affine jump diffusion regime-switching spike, which is an extension of the spike model but contains two separate regimes to distinguish between periods of high and low water levels in the reservoirs, reflecting the availability of hydropower in the market. Third, we propose a seasonal affine jump diffusion three-factor spike model which again extends the spike model but allows the equilibrium level to be stochastic in order to capture the long-run dynamics of the market that are uncovered from the shape of the forward term structure. The performance of our models is compared to that of other models proposed in the literature in terms of fitting the observed term structure, as well as by generating simulated price paths which have the same statistical properties as the actual prices observed in the market. In particular, our models perform well in terms of capturing the spikes and explaining their fast mean reversion as well as in terms of reflecting the seasonal volatility observed in the market. Then we use these models and provide semi-closed form solutions for European option prices and investigate whether the shape of the model implied volatility smile is consistent to the one that is anticipated to be observed in the market. Furthermore, we also perform a sensitivity analysis for Asian option prices which are widely used in the market. Finally, we apply a modified Least Squares Monte Carlo algorithm for the pricing of swing options, and investigate the sensitivity of the incremental swing premium to changes of different parameters used to capture the stochastic behaviour of the power spot prices.

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35

Hiroshi, Toma Uza Javier Alberto, and Pye Jorge Feranando Tudela. "Riesgo sistémico en el sistema bancario peruano : una aplicación de la metodología systemic contingent claims analysis (SOCA)." Master's thesis, Pontificia Universidad Católica del Perú, 2016. http://tesis.pucp.edu.pe/repositorio/handle/123456789/8193.

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Este trabajo busca encontrar una medida forward looking para cuantificar el riesgo sistémico del sistema bancario peruano utilizando la metodología de Systemic Contingent Claims Analysis (SCCA). Usando datos diarios entre 2007 y 2015 para los cuatro bancos con mayor participación de mercado del Perú, se calculan los indicadores de distancia al default, probabilidad de default y pérdidas en caso de default mediante el modelo estructural de Black- Scholes-Merton. Con este primer paso es posible conocer el comportamiento de riesgo individual de cada entidad. Luego, se hace uso de la teoría de valores extremos (EVT) y de la teoría de cópulas para hallar una medida forward-looking que cuantifique el riesgo sistémico a través de la medición de las pérdidas esperadas totales y proyectadas para el sistema bancario en caso de default, tomando cuenta la dependencia que existe entre las entidades bancarias. Se encuentra que el sistema bancario peruano, representado por sus cuatro entidades más importantes, se encuentra saludable en su conjunto a inicios del 2016, aunque hay entidades que merecen mayor atención pues podrían ser consideradas como too big to fail.
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36

Bienek, Tobias [Verfasser], Matthias [Akademischer Betreuer] Scherer, Matthias [Gutachter] Scherer, Daniel [Gutachter] Bauer, and Torsten [Gutachter] Kleinow. "Hedging and Valuation of Contingent Guarantees / Tobias Bienek ; Gutachter: Matthias Scherer, Daniel Bauer, Torsten Kleinow ; Betreuer: Matthias Scherer." München : Universitätsbibliothek der TU München, 2019. http://d-nb.info/1185637966/34.

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Vorbrink, Jörg [Verfasser]. "Valuation of financial contingent claims in the presence of model uncertainty / Jörg Vorbrink. Fakultät für Wirtschaftswissenschaften. Institut für mathematische Wirtschaftsforschung." Bielefeld : Universitätsbibliothek Bielefeld, Hochschulschriften, 2011. http://d-nb.info/1014955661/34.

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38

Didion, René Paul. "Modellierung und Bewertung von Zinsderivaten Unter Berücksichtigung der Absicherung gegenüber Zinsrisiken von Banken /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607554002/$FILE/02607554002.pdf.

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39

Dahlfors, Gunnar, and Peter Jansson. "Essays in financial guarantees and risky debt." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 1994. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-887.

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This dissertation consists of six separate papers dealing with the valuation of financial guarantees and risky debt contract. Each of these papers is independent and distinct. The main theme is the valuation of securities by contingent claims analysis (CCA). Paper 1: Valuation of Financial Guarantees – A Presentation and a Critique.One purpose of this paper is to derive a pricing formula for a deposit guarantee, when the assets of the bank exhibit downward jumps due to extraordinary loan defaults. In this respect, we use the framework of Merton (1976), where a stock option is priced under the assumption of a jump-diffusion process for the underlying stock. Paper 2: Valuation of Deposit Insurance – An Alternative Approach.This paper extends paper 1 in the respect that the guarantor, in this case a deposit insurance agency, will nullify the guarantee contract and liquidate the bank when it gets insolvent. The liquidation is assumed to involve some costs like legal and realization costs. In fact, since the guarantee contract will never get in-the-money, the guarantee will receive value only from these liquidation costs. Paper 3: Financial Guarantees and Asymmetric Information.In this paper, we make the assumption that the guarantor cannot observe the solvency process, unless it carries out audits. This is different from the normal perfect information assumption for this kind of analysis. Since audits are often costly, and this burdens the guarantee value, the guarantor will search for an audit strategy, which minimizes the guarantee value. Paper 4: Valuation of Barrier Contracts – A Simplified Approach.Many types of financial contracts can be classified as "barrier contracts". This description comes from their feature of allowing either contractual part to take some kind of action during the lifetime of the contract contingent on some pre-specified event. In this sense, the deposit insurance contract in analysed in paper 2 can be regarded as a barrier contract. The previous valuation models of barrier contracts are often considerably advanced and have tended to obscure the underlying economics. It is the path-dependence and stopping-time features that primarily make the derivation of these pricing formulas complicated. Our model simplifies this procedure by deriving the important "first passage time" distribution from a binomial model instead of using the reflection principle. Paper 5: Valuation of Risky Debt in the Presence of Jumps, Safety Barriers and Collaterals.This paper deals with different aspects of risky debt valuation with the CCA approach. The term. "risky", refers to the probability of default on the promised payment by the borrower. Paper 6: Portfolio Selection and the Pricing of Personal Loan Contracts.The CCA literature that follows Black and Scholes (1973), has mainly taken the underlying asset dynamics for given. Although it may be appropriate for stock options, we consider this assumption too simplifying with regards to personal loan contracts. It is obvious that the borrower’s consumption-investment decision affects his wealth process, on which the loan contract is contingent. Moreover, we believe that individuals actually have preferences to repay loans for different reasons such as the existence of reputational costs or legal penalties that affect the borrower in case of loan default.
Diss. av båda förf. Stockholm : Handelshögskolan

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Eleni, Tzimopoulou. "Epistemic Modality in Linguistic and Literature Essays in English : A comparative corpus-based study of modal verbs in student claims." Thesis, Högskolan Dalarna, Engelska, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:du-22477.

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This study is a corpus-based comparison between student essays written in the subject areas of English linguistics and literature at undergraduate level. They are 200 Bachelor degree theses submitted at a variety of university departments (such as English, Language and Literature, Humanities, Social and Intercultural Studies) in Sweden. The comparison concerns frequencies of core modal verbs and how often they occur together with the I, we and it subject pronouns and in the structures this/the [essay, study, project, thesis] when students attempt to communicate their personal claims. Quantitative and qualitative analyses of the essays show few similarities in the ways that core modal verbs appear in both disciplines. The results indicate mainly distinct differences, especially in relation to clusters and variation of performative verbs. Specific patterns in the ways that students use core modal verbs as hedges have also been identified.

Engelska

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Wood, Anthony Paul. "The performance of insolvency prediction and credit risk models in the UK : a comparative study, development and wider application." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/4211.

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Contingent claims models have recently been applied to the field of corporate insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited studies have been carried out in order to empirically compare the performance of these “market” models with that of their accounting number-based counterparts. This thesis contributes to the literature in several ways: The thesis traces the evolution of the art of corporate insolvency prediction from its inception through to the present day, combining key developments and methodologies into a single document of reference. I use receiver operating characteristic curves and tests of economic value to assess the efficacy of sixteen models, carefully selected to represent key moments in the evolution of the art, and tested upon, for the first time, post-IFRS UK data. The variability of model efficacy is also measured for the first time, using Monte Carlo simulation upon 10,000 randomly generated training and validation samples from a dataset consisting of over 12,000 firmyear observations. The results provide insights into the distribution of model accuracy as a result of sample selection, which is something which has not appeared in the literature prior to this study. I find overall that the efficacy of the models is generally less than that reported in the prior literature; but that the theoretically driven, market-based models outperform models which use accounting numbers; the latter showing a relatively larger efficacy distribution. Furthermore, I obtain the counter-intuitive finding that predictions based on a single ratio can be as efficient as those which are based on models which are far more complicated – in terms of variable variety and mathematical construction. Finally, I develop and test a naïve version of the down-and-out-call barrier option model for insolvency prediction and find that, despite its simple formulation, it performs favourably compared alongside other market-based models.

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Reneby, Joel. "Pricing corporate debt." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1998. http://www.hhs.se/efi/summary/474.htm.

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Sörensson, Tomas. "Swedish convertible bonds and their valuation." Doctoral thesis, Handelshögskolan i Stockholm, Kostnadsintäktsanalys (C), 1993. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-893.

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Since 1980, many convertible bonds have been issued by Swedish companies. Most of these issues have been aimed at the employees. The great number of these employee issues gave rise to a new tax law. This tax law made it necessary to obtain a value on a convertible bond certificate at issue. In the first part of the dissertation, the institutional setting for the issuing of convertible bonds in Sweden is discussed. The relevant tax laws and recommendations given by different organizations are described. Also other features related to the issues are described. Furthermore, an empirical study of convertible bonds issues to emplyees in listed companies is carried out. The main purpose of the study is to quantify the volume of convertible bond issues to employees which have defaulted. Issues with a nominal value of around 500 million Swedish Crowns have been involved in some form of default. In this study, several models are compared to investigate whether the choice of model for valuing convertible bonds is important. These models all fall within the framework of Contingent Claims Analysis. Contingent Claims Analysis is an option based technique for determining the value of a claim whose payoffs depend upon the development of one or several underlying variables. In the study, it is shown in great detail how to set up and use those models. It is shown that the choice of model is important for the value of a convertible bond in certain situations. Those situations are identified by an empirical study of Swedish convertible bonds and through sensitivity analysis.

Diss. Stockholm : Handelshögskolan, 1993

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Eyraud-Loisel, Anne. "EDSR et EDSPR avec grossissement de filtration, problèmes d'asymétrie d'information et de couverture sur les marchés financiers." Phd thesis, Université Paul Sabatier - Toulouse III, 2005. http://tel.archives-ouvertes.fr/tel-00450944.

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L'objectif de cette thèse est d'étudier l'existence et l'unicité de solution d'équations différentielles stochastiques rétrogrades avec grossissement de filtration. La motivation de ce problème mathématique provient de la résolution d'un problème financier de couverture par un agent possédant une information supplémentaire inconnue sur le marché. Dans une première partie, nous résolvons ce problème, successivement dans un cadre continu puis avec sauts, et montrons que sous l'hypothèse (H3) du grossissement de filtration, grâce à un théorème de représentation des martingales, l'EDSR dans l'espace grossie sous des hypothèses standard a une unique solution. L'une des conséquences principales est que, dans un marché complet, la détention d'une information supplémentaire par l'agent initié ne lui confère pas de stratégie de couverture différente. Dans une seconde partie, nous développons un modèle d'agent informé et influent, ce qui nous amène à résoudre une équation différentielle stochastique progressive rétrograde avec grossissement de filtration, et nous obtenons également un théorème d'existence et d'unicité de solution. Nous sommes également amenés à étudier le problème de couverture en marché incomplet, puisque du fait de l'influence, le marché sans information devient incomplet. Enfin, dans la dernière partie, nous généralisons les résultats d'existence et d'unicité de solution d'EDSR avec grossissement de filtration à des EDSR à horizon aléatoire.

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Hernandez, Urena Luis Gustavo. "Pricing of Game Options in a market with stochastic interest rates." Diss., Georgia Institute of Technology, 2005. http://hdl.handle.net/1853/7005.

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An in depth study of the pricing of Game contingent claims under a general diffusion market model, in which interest rate is non constant, is presented. With the idea of providing a few numerical examples of the valuation of such claims, we present a detailed description of a Bootstrapping procedure to obtain interest rate information from Swaps rates. We also present a Stripping procedure that can be used to obtain initial spot (caplet) volatility from Market quotes on Caps/FLoors. These methods are of general application and could be used in the calibration of diffusion models of interest rate. Then we show several examples of calibration of the Hull--White model of interest rates. Our calibration examples are later used in the numerical approximation of the value of a particular form of Game option.

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Kennedy, J. Shannon. "Hedging Contingent Claims in Markets with Jumps." Thesis, 2007. http://hdl.handle.net/10012/3294.

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Contrary to the Black-Scholes paradigm, an option-pricing model which incorporates the possibility of jumps more accurately reflects the evolution of stocks in the real world. However, hedging a contingent claim in such a model is a non-trivial issue: in many cases, an infinite number of hedging instruments are required to eliminate the risk of an option position. This thesis develops practical techniques for hedging contingent claims in markets with jumps. Both regime-switching and jump-diffusion models are considered.

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Huang, Ching-Yu, and 黃景榆. "Hedging Strategies Against Path-dependent and Multi-assets Contingent Claims." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/21961291966068005473.

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碩士
國立中正大學
統計科學所
97
The construction of hedging strategies against path-dependent and multi-assets contingent claims is an important and challenged task in financial markets. In this study, we first consider the hedging strategy of path-dependent derivatives such as barrier options when the underlying asset follows a geometric Brownian motion process. We adopt the concept of the static hedging strategies proposed by Bowie and Carr (1994) and extend it to more general situations by establishing a linear combination of plain vanilla options. Next, similar ideas are utilized to hedge path-dependent and multi-assets derivatives such as Himalaya options. A minimum variance unbiased hedging strategy consisting of riskless bonds, the underlying assets and European options is proposed when the underlying assets follow correlated geometric Brownian motion processes. Simulation studies show that the proposed hedging strategies have good performance in hedging barrier and Himalaya options.

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Hayashi, Takaki. "Hedging of contingent claims under model uncertainty : a data-driven approach /." 2000. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:9965087.

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Truter, Gavin Kenneth. "The valuation and Hedging of default-contingent claims in multiple currencies." Thesis, 2012. http://hdl.handle.net/10539/11955.

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This dissertation examines the pricing of the same credit risk in two currencies, and hence the valuation of credit-contingent foreign exchange products. Such pricing hinges upon the dependence of the credit risk and the foreign exchange rate. We recall the reduced-form model proposed by Ehlers (2007), which allows credit-currency dependence through correlation between the Brownian motions driving the default intensity and the exchange rate, and through a jump in the exchange rate at the default time. Four basic specifications of this model are considered. Two of these specifications have not previously appeared in the literature and one of these, based on a lognormal process for the default intensity, proves to be especially useful and tractable. The problem of hedging defaultable claims in one currency with similar claims in another is briefly considered, and it is shown that hedging against the default event and against credit spread movements are not in general equivalent.

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Monin, Phillip James. "Essays on achieving investment targets and financial stability." Thesis, 2013. http://hdl.handle.net/2152/28470.

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This dissertation explores the application of the techniques of mathematical finance to the achievement of investment targets and financial stability. It contains three self-contained but broadly related essays. Sharpe et al. proposed the idea of having an expected utility maximizer choose a probability distribution for future wealth as an input to her investment problem rather than a utility function. They developed the Distribution Builder as one way to elicit such a distribution. In a single-period model, they then showed how this desired distribution for terminal wealth can be used to infer the investor's risk preferences. In the first essay, we adapt their idea, namely that a desired distribution for future wealth is an alternative input attribute for investment decisions, to continuous time. In a variety of scenarios, we show how the investor's desired distribution, combined with her initial wealth and market-related input, can be used to determine the feasibility of her distribution, her implied risk preferences, and her optimal policies throughout her investment horizon. We then provide several examples. In the second essay, we consider an investor who must a priori liquidate a large position in a primary risky asset whose price is influenced by the investor's liquidation strategy. Liquidation must be complete by a terminal time T, and the investor can hedge the market risk involved with liquidation over time by investing in a liquid proxy asset that is correlated with the primary asset. We show that the optimal strategies for an investor with constant absolute risk aversion are deterministic and we find them explicitly using calculus of variations. We then analyze the strategies and determine the investor's indifference price. In the third essay, we use contingent claims analysis to study several aggregate distance-to-default measures of the S&P Financial Select Sector Index during the years leading up to and including the recent financial crisis of 2007-2009. We uncover mathematical errors in the literature concerning one of these measures, portfolio distance-to-default, and propose an alternative measure that we show has similar conceptual and in-sample econometric properties. We then compare the performance of the aggregate distance-to-default measures to other common risk indicators.
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Dissertations / Theses on the topic 'Hedging of contingent claims'

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