Derivatives Analysis and Valuation
Analysis and numerical methods for stochastic volatility models in valuation of financial derivatives
... calls on 16 stocks. Puts weren’t even introduced until 1977. Also in 1973, Merton [104] and Black and Scholes [13] published the basic building blocks of derivatives theory, delta hedging and no arbitrage theory. ...
290
Financial and actuarial valuation of insurance derivatives
... Fourier analysis to derive a representation of the class of possible price processes solely on the basis of excluding arbitrage ...catastrophe derivatives - and do not impose any assumptions on the ...
115
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
... different from the LIBOR, a swap funding spread is also needed to be introduced. This funding spread actually reflects the different funding cost of different issuers and also has an impact on swap rate. To simplify the ...
20
MODELING, VALUATION AND RISK MANAGEMENT OF ASSETS AND DERIVATIVES IN ENERGY AND SHIPPING
... The valuation and optimal operation of compressed air storage depends on the short term volatility and longer term fluctuations of wind speeds and electricity ...explicit valuation of such storage ...
40
New valuation and pricing approaches for derivatives in the wake of the financial crisis
... subjective valuation and P&L allocation of uncollateralized ...the valuation of uncollateralized derivatives does not ...closer analysis is required because those grids usually incorporate ...
12
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
... 1,000 barrels of domestic crude oil in Cushing, Oklahoma. 7 We consider weekly observations, sampling Wednesday settlement prices between 01/01/1996 and 12/10/2008, yielding 676 observation dates. Crude oil futures are ...
41
BOND ANALYSIS AND VALUATION
... 30 years or more), cash flow structures (zero-coupon bonds, coupon bonds, annuities etc.), issuers (corporations, governments, municipalities etc.), and derivatives (swaps, bond and money market futures, forwards, ...
76
Efficient valuation of exotic derivatives with path-dependence and early exercise features
... 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 about this instrument over the ...
183
Valuation of commodity derivatives when spot prices revert to a cyclical mean
... our analysis on natural gas as a source of energy, taking Henry Hub as the pricing point for natural gas futures ...spectral analysis to identify such frequencies, and in particular, to identify the ...
47
Efficient valuation of exotic derivatives with path-dependence and early exercise features
... 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 about this instrument over the ...
183
Analysis and Valuation of Insurance Companies
... Surveys and anecdotal evidence also suggest that, for insurance companies, the lack of familiarity with the regulatory and accounting treatment of derivatives is another reason for their cautious derivative usage. ...
182
VALUATION IN DERIVATIVES MARKETS
... Yield Curve • Discounting cash flows at different times is a routine but key part of derivatives valuations. • Discount Rates for varying time periods can be implied from pure interest rate instruments such as ...
22
Valuation of Credit Derivatives
... credit derivatives has seen one of the largest growths of all the ...Credit derivatives are being actively used not only for hedging purposes, but also as a way to improve the return on the ...credit ...
123
Valuation of Equity Derivatives
... equity derivatives and how they work General idea behind the method of arbitrage-free pricing g p g The assumptions of the theory and their validity in reality What‘s missing in the theoretical framework ...
55
Valuation of Convexity Related Derivatives
... financial derivatives that are defined as a one or a finite set of payments in specified currencies at specified times, where each payment is uniquely determined at the time it is to be paid as a function of a ...
27
Electricity derivatives valuation on the Nordic electricity market
... Byla zjištěna podobnost výsledků ocenění dle Blackova analytického modelu s výsledky ocenění dle simulací na bází geometrického Brownova pohybu s logaritmickými cenami[r] ...
76
Efficient Lattices for Market Calibrated Derivatives Valuation
... Efficient Lattices for Market Calibrated Derivatives Valuation Efficient Lattices Efficient Lattices for Market Calibrated Derivatives Valuation Dennis Furey Centre for Concurrent Systems and VLSI Sch[.] ...
92
Valuation of Derivatives on the Cost Variables of the Shipping Market
... Christos E. Kountzakis Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Mytilene, Greece Abstract In this paper, we present stochastic differential equations related to the cost ...
5
Valuation Of Over-the-counter (otc) Derivatives With Collateralization
... price derivatives based on no-arbitrage arguments with respect to some underlying primary asset like a stock or a ...pricing derivatives securities, such as forwards, swaps, futures, options, collateralized ...
69
Valuation of commodity derivatives with an unobservable convenience yield
... on derivatives prices. The formula obtained is reminiscent of that of Black [63], inheriting its simplicity and tractability, with three main differences enriching model features. First, both the interest rate and ...
66