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 99 for “"SWAPS"”.
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Commodity swaps
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1990.
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Essays on credit default swaps
This research provides three self-contained empirical studies on the interrelationship between Credit Default Swap (CDS) and the bond and equity markets. The first essay performs an analysis of the relationship between CDS premia denominated in Pound Sterling and bond spread denominated in Pound …
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Pricing swaptions on amortising swaps
… for pricing European options on amortising swaps are explored. The first approach is to decompose the pricing of a European amortising swaption into a series of discount bond options, with an assumption that the interest rate follows a one-factor affine model. The second approach is using a …
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Credit default swaps in a roll-over risk framework
Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this …
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Volatility swaps and their use in currency risk management
… the foreign exchange returns as well. Volatility swaps are financial instruments that allow the user pure exposure to the volatility of an asset. While most of the published works on volatility swaps have focused on their use as a speculative instrument, this thesis will attempt to show how …
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DE NEDERLANDSE PRIVAATRECHTELIJKE (BIJZONDERE) BANCAIRE ZORGPLICHTEN INZAKE (PLAIN-VANILA) SWAPS Wanneer is voldaan aan de Nederlandse privaatrechtelijke (bijzondere) bancaire zorgplichten inzake (plain-vanila) swaps
… bancaire zorgplichten inzake (plain-vanila) swaps. Waarbij er onderzoek wordt gedaan door antwoord te geven op de (onderzoeks)vraag: Wanneer is voldaan aan de Nederlandse privaatrechtelijke (bijzondere) bancaire zorgplichten inzake (plain-vanila) swaps. In het onderzoek komt de (plain-vanila) …
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Analysis of Fixed Volume Swaps for Hedging Financial Risk at Large-Scale Wind Projects.
North Carolina State University Theses Natural Resources.
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Los credit default swaps y su encuadre regulatorio en el derecho comparado y en Argentina
Fil: Parodi Logioco, Danilo.Pontificia Universidad Católica Argentina. Facultad de Derecho; Argentina
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Two topics in financial mathematics : Forward utility and consumption functions & Hedging with variance swaps in infinite dimensions
… second chapter, entitled “Hedging with Variance Swaps in Infinite Dimensions”, contributes to the derivatives pricing and hedging branch of Financial Mathematics. It is at the interface between the works of Buehler, who has shown that one could apply the HJM framework to model (forward) variance …
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Deuda Soberana: Análisis del impacto de cambios en la calificación de riesgo crediticio en los Credit Default Swaps
… soberanas en el spread de los Credit Default Swaps (CDS) a nivel global entre 2012-2021. Demuestro que los cambios en las calificaciones proveen información valiosa al mercado, son económicamente relevantes y estadísticamente significativos en modelos de panel dinámicos, incluso al controlar …
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Investigation into Greedy Exhaustive Dual Binary Swaps (GEDBS) for the optimization of core configuration in pressurized water reactors
… core. The use of Greedy Exhaustive Dual Binary Swaps (GEDBS) was implemented for the optimization of the quarter-core of a reactor containing 193 fuel assemblies. The primary objective was to investigate the quality of the output from the GEDBS algorithm and to compare it to those of other …
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A service wrapping and provisioning framework for service-oriented architecture (SOA)
… service wrapping and provisioning framework (SWAPS). Via SWAPS, the service wrapper to the legacy application can be generated on-the-fly and can be autonomic provisioned in the grid computing environments as a service provider. SWAPS is designed and developed on the base of SORCER/JINI/RIO …
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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
The reader is introduced to the financial landscape which the Regulation seeks to legislate, this is supplemented by a comprehensive overview of the role and functions of financial markets, a brief history of financial markets and an overview of the driving evolutionary factors which led to …
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Demand driven dispatch and revenue management
… more than it aids the implementer. Early swaps in D³ lead to heavy dilution. Late swaps lead to smaller increases in loads but substantial increases in revenue. The relationship between revenue-maximization and cost-minimization in profit-maximizing D³ is highly influenced by the timing of …
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Estimating swap credit risk: significance of the volatility input using Monte-Carlo simulation
… in the early 1980s, the global market for swaps has grown to over $3 trillion in notional principal outstanding, leading some regulators and others to express concern about risks posed for the financial system. Notional principal, however, is not a measure of the risks of swaps. As a …
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Page management in hybrid memory systems
… due to the high swap overhead, initiating swaps solely based on hardware counters or relying on software methods hinders the potential for performance gains due to their conservative decision making. In this work, we introduce Prefetching, a novel hybrid memory management scheme that …
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