Focusing on interest rate derivatives, this thesis develops a framework for analy- sis to compare end-user costs of the thesis develops an econometric tool to model counterparty exposure under standard bilateral swaps, removing funds from the portfolio to meet risk management requirements and cover expenses. This thesis studies credit derivatives and especially the nature of credit default swaps (cds) and their main characteristics cds attracted the attention of policy makers and market investors after the global financial crisis of 2007 in addition, during the european debt crisis, cds became very popular, thus they offer. Division of applied mathematics master thesis in mathematics / applied mathematics valuation of cancelable interest rate swaps via hull-white trinomial tree model by sergii gryshkevych masterarbete i matematik / tillämpad matematik division of applied mathematics school of education, culture and communication. Harvard phd thesis (1995) august 1995 beneish and press, 1995 md beneish, e pressinterrelation among events of default contemporary accounting research (1995) summer 1995 bhattacharya, 1990 ak bhattacharyasynthetic assets swaps journal of portfolio management, 17 (1) ( 1990), pp 56-64 chen and. Abstract in this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate in particular, our modeling framework consists of the equity which follows the dynamics of the heston stochastic volatility model, whereas the stochastic interest rate is driven by the. Applied financial econometric analysis: the dynamics of swap spreads and the estimation of volatility david mendez vives the london school of economics thesis submitted in partial fulfilment of the requirements of the degree of doctor of philosophy at the university of london. Modeling cva for interest rate swaps in a cir-framework master thesis in finance school of business and law supervisor: alexander herbertsson master degree project no 2013 lukas norman and ge chen. In this thesis i forecast mortality rates with the well-known lee-carter model with these forecasts i price longevity index swaps using monte carlo simulations and the equivalent utility pricing principle in order to hedge against longevity risk with the longevity index swaps i use a static approach i analyse in.
Abstract this thesis investigates hedging strategies for a book of interest rate swaps of the currencies eur and sek the aim is to minimize the variance of the portfolio and keep the transaction costs down the analysis is performed us- ing historical simulation for two different cases first, with the real. Abstract author: tommi karvinen title: the widening of the cross-currency basis spreads since the financial crisis: the drivers behind jpy/eur swap spreads widening faculty: school of business and management master's program: strategic finance and business analytics year: 2017 master's thesis. In this thesis we have looked at two such models the first model is given in , here the electricity price is modeled as a sum of log-normal forwards the main concern was how the swap price and log-returns of the electricity price would behave, given the log-normal forwards secondly we compare the above model for. Essays on credit default swaps biao guo, ba, ma thesis submitted to the university of nottingham for the degree of doctor of philosophy september 2012.
First name, last name, thesis title inna, shkodrova, cdo ilya, kolpakov, one -factor credit risk model: the link between physical and market-implied default probabilities in the credit default swap market vanessa, robles juez yacine, moulay rchid, counterparty risk modelling of range accrual swaps joachim. Empirical evidence on theoretical relationship between corporate credit default swaps and bond spreads the purpose of this thesis is to study traded corporate credit risk in the cds and bond markets as credit risk is being traded in both bond market and the cds market, to avoid arbitrage, a close relation between the. Equilibrium (dsge) models this thesis predominantly aims to contribute to the current research on linkage between the macroeconomic and financial variables in the czech re- public for that reason in the first step, i estimate the dynamic nelson-siegel model of the czech swap yield curve on monthly data in the second. Credit default swaps - essays on model and market efficiency muhammad f farooqi university of western ontario supervisor walid busaba the university of western ontario joint supervisor zeigham khokher the university of western ontario graduate program in business a thesis submitted in partial fulfillment.
This thesis introduces a general framework for model-free discretisation-invariant swaps in the first main chapter a novel design for swap contracts is developed where the realised leg is modified such that the fair value is independent of the monitoring partition an exact swap rate can then be derived from. Master's thesis pricing constant maturity swap derivatives thesis submitted in partial fulfilment of the requirements for the master of science degree in stochastics and financial mathematics by noemi c nava morales supervisors: dr frans boshuizen dr pjc (peter) spreij august 30, 2010.
This thesis proposes a credit risk model for credit default swap (cds) valuation the standard merton (1974) model is extended to implement a stationary leverage ratio, a stochastic asset drift rate, and a stochastic, mean reverting volatility rate the cds valuation is performed by applying the discounted cash flow method to.
Czech technical university in prague faculty of information technology department of theoretical computer science bachelor's thesis string pattern matching with swaps václav blazej supervisor: rndr tomáš valla, phd 11th may 2015. To shed light on this issue, my study investigates the relation between credit default swaps trading and corporate investment policy for the listed firms in the united states using the any reproduction, adaptation, distribution or dissemination of this thesis without express authorization is strictly prohibited. Bailed out with a little help from my friends: social similarity and currency swaps during the 2008 crisis a thesis presented by timothy e marple submitted to the graduate school of the university of massachusetts amherst in partial fulfillment of the requirements for the degree of. Dissertation for the degree of doctor of philosophy, phd, in finance stockholm school of economics, 2017 pricing, exchange traded funds, financial frictions, international finance, sovereign credit default swaps this volume is submitted as a doctoral thesis at sse in keeping with the policies of sse, the author has.
Abstract in this thesis, we establish a financial credit derivative pricing model for a credit default swap (cds) contract which is subject to counterparty risks a credit default swap is an agreement on exchange of cash flows between two parties, the buyer and the seller, about the occurrence of a credit event. The zero-coupon inflation indexed swap (zciis) is a derivative contract through which inflation expectations on the consumer price index (cpi) are actively traded in the us in this thesis we consider different ways to use the information from the zciis market for modeling forward inflation in a risk-neutral framework. The process of writing my doctoral thesis would have been impossible without the professional and personal support and advice of many people i would like to take this opportunity to express my gratitude to them first and foremost, i would like to express my sincere gratitude to my supervisor professor klaus spremann.