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 20 of 29 for “"Financial derivatives"”.
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Machine learning methods for pricing and hedging financial derivatives
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms
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The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures
Finanzmathematische Modelle sind in den 90ern sowohl von der <br>Mathematik her deutlich weiterentwickelt, als auch verstärkt in <br>Finanzinstitutionenen angewandt worden. Hierbei geht der Trend dahin, <br>die in Standardansätzen verwandte Brownsche Bewegung durch <br>realistischere Prozesse, die …
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Multidimensional modelling and optimization approaches for financial derivatives in incomplete markets
L'abstract è presente nell'allegato / the abstract is in the attachment
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Empirical essays on inferring information from options and other financial derivatives
… information from option contracts and other financial derivatives in the U.S. market as well as in the international markets. The first essay examines corporate bankruptcy probabilities inferred from option prices and credit default swaps (CDS) spreads around the 2008 financial crisis in the …
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Inventing organizations of the future : applications in the financial derivatives industry
Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 1995.
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Financial derivatives use and firm value in East Asian non-financial firms
Derivatives have been using widely in the world over the last 30 years as an important risk management instrument. Although theoretical researchers suggest that derivatives usage can enhance value of a firm by alleviating costs arising from several market imperfections, the existing evidence is not …
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The regulation of financial derivates: an agent-based model approach
In 2007-08, the world experienced the greatest financial crisis since 1929, which turned – in the following years – in one of the deepest and most prolonged periods of economic stagnation of modern history. While there were multiple conditions that originated the so-called Great Financial Crisis, a …
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The taxation of financial derivative instruments in South Africa
The financial derivatives market is by its very nature extremely innovative and new financial instruments are constantly being developed. Financial derivatives, in particular poses a threefold challenge to taxation, i.e. the character of derivative income; the jurisdiction to tax derivatives; and …
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Codes of Finance. Engineering Derivatives in a Global Bank
… It analyzes the recent discussions about financial derivatives and offers a new framework to understand financial innovation.
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Three Studies on Hedging Activities and Managerial Opportunism
… of mandatory derivative disclosures under Financial Accounting Standard No. 161: Disclosures about Derivative Instruments and Hedging Activities (FAS 161) altered the relative merit of discretionary accruals and financial derivatives for income smoothing. Discretionary accruals and …
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Three Studies on Hedging Activities and Managerial Opportunism
… of mandatory derivative disclosures under Financial Accounting Standard No. 161: Disclosures about Derivative Instruments and Hedging Activities (FAS 161) altered the relative merit of discretionary accruals and financial derivatives for income smoothing. Discretionary accruals and …
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Locational Spread Options with Stochastic Correlation
… the common assumption, the correlation between financial derivatives may not be constant across time. This thesis analyses the role of stochastic correlation in modeling for locational spread options for natural gas. We first derive a model with Ornstein–Uhlenbeck process between two spread …
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A Study in Hybrid Monte Carlo Methods in Computing Derivative Prices
… computational methods can be combined to price financial derivatives. This thesis introduces several hybrid Monte Carlo methods and studies the algorithm and efficiency of these methods, which include three methods combining Monte Carlo with fast Fourier transform, cosine series, and …
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Option pricing in a path integral framework
… and has no closed form solution. Three specific financial derivatives are used in this dissertation, they are, European (call and put), American put and a down and out call (Barrier type) option. The work in this dissertation examines three methods to approximate the option price. The first is a …
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Efficient numerical methods based on integral transforms to solve option pricing problems
… to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the spatial (asset) derivatives and the use of inverse Laplace transforms to solve the resulting problem in time. The conventional spectral methods are further modified by …
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The management of foreign exchange risk by listed companies: an empirical study
… by JSE-listed companies, specifically non-financial companies. The investigation was based on the experienced practices in 2015. A web-based survey was used to source data from the population and yielded a 37% response rate. Transactional risk is the most prioritised form of foreign …
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Stock Option Valuations and Constraint Enforcement Using Neural Networks
… long been studied, being inherently non-linear financial derivatives. These instruments have a ubiquitous presence in institutional investment practice, and present many favourable and unique benefits to an investment portfolio. Neural Networks on the other hand have become a more familiar …
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ON DERIVATIVES AND DERIVATIVES PRICING
This report studies the basics of financial derivatives – the definition, the different types, the uses, the pricing methods and the trading process of derivatives. It explains and evaluates the two different ways private banks deal with derivatives products: the closed architecture where a bank …
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Discrete symmetry analysis of partial differential equations for bond pricing
… how to determine 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 …
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Risk in global infrastructure project financing
… risks can be divided into three main categories: financial risks; political risks; and project's performance risks. The first category includes risks that have to do with the financial aspect of the investment such as interest rate risk, currency transfer and inconvertibility risks, and mainly …
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