Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 17 of 17 for “"Derivative securities."”.
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Extracting risk aversion estimates from option prices/implied volatility
… the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock …
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Stochastic Volatility Models for Contingent Claim Pricing and Hedging
… 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 …
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Essays on hedge fund risk, return and incentives
… pools that invest in any asset class as well as derivative securities and use long and short positions, as well as leverage where the manager is compensated with a proportion of the returns. Hedge funds are not new, Alfred Winslow Jones in generally credited with the formation of the first hedge …
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Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance
Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be …
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Valuing risky income streams in incomplete markets
… best to price and hedge contingent claims and derivative securities in incomplete markets. The focus of this dissertation is on a model proposed by Carr, Geman and Madam [7], which combines elements of arbitrage pricing theory with expected utility maximisation to decide whether a risky …
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Essays in financial engineering
… The first essay is motivated by the fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets. This suggests the possibility of constructing buy-and-hold portfolios of options that mimic certain dynamic investment policies, e.g., asset-allocation …
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Optimal deleveraging and liquidation of financial portfolios with market impact
… Depending on whether the portfolio contains derivative securities, the robust optimization program can be converted to either a convex semidefinite program or a convex second-order cone program, both of which are computationally tractable. We model the optimal execution problem as a …
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Discrete symmetry analysis of partial differential equations for bond pricing
… prices, underlies the theory of financial derivatives pricing and hedging [40]. We use arbitrage together with the Black-Scholes model for asset price movements when trading derivative securities. 1Arbitrage is used to creating a portfolio and the discrete symmetries show how to create a …
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Essays in MacroFinance
… when one asset can be tranched to issue more derivative securities than can be backed by another asset. This theory correctly predicts that inclusion in the CDX index increases the underlying CDS basis. In Chapter 2, I study the use of secured and unsecured debt by nonfinancial firms for …
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Novel fitted schemes based on mimetic finite difference method for options pricing
… analytical solutions. Indeed, in the pricing of derivative securities such as European options, the underlying PDE, the so called Black-Scholes equation, is known to have a closed-form solution when the coefficients are constant. In the case of an American put option, however, there is no …
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Three essays in empirical derivatives
… that examine various problems in empirical derivatives. In the first essay, we use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from …
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The impact of structured investment products with fixed-income characteristics on the performance of fixed-income portfolios
Structured investment products are a relatively new concept in the financial world given that they only gained popularity in the early 1990s. In this regard, this research is still in its infancy and of particular interest to researchers in the field. The literature reviewed showed that particular …
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Essays on Financial Markets
… on the Swedish Exchange for Options and Other Derivative Securities (OM). Stochastic Volatility option prices are compared to Black-Scholes prices as well as to market prices, and both models overprice out-of-the-money and underprice in-the-money. A dynamic hedging strategy reveals some …
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Codes of Finance. Engineering Derivatives in a Global Bank
… is an ethnography of a global bank inventing new derivative products. It describes the multiple languages invented to describe and control these new products. It analyzes the recent discussions about financial derivatives and offers a new framework to understand financial innovation.
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Crude Oil and Crude Oil Derivatives Transactions by Oil and Gas Producers.
… Second, it examines whether or not crude oil derivatives transactions by oil and gas producers can change shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of crude oil derivatives transactions, and the systematic risk …
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A critical analysis of the regulation (of the European Parliament and of the Council) on short selling and certain aspects of credit default swaps
… examination of IOSCOs principles of regulating securities markets and an analysis as to why investors invest is provided. The reader is then presented with a primer on Shorting and CDSs, the functions of such and what they bring to the market both in terms of economic benefits and associated …
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
… it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional finance theory asserts that futures and …