Sökning: "swap"
Visar resultat 1 - 5 av 36 avhandlingar innehållade ordet swap.
1. Analytical Approximation of Contingent Claims
Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER
2. Empirical Essays on Financial Economics
Sammanfattning : In the first essay of this thesis we develop a model for calculating the net expected value of a swap agreement subject to dual-default risk. The main explanatory variable for the net expected return of a swap is the default intensity of each party measured by the credit rating of the firm. LÄS MER
3. Empirical studies of financial asset returns
Sammanfattning : This dissertation aims at understanding differences in rates of returns on financial assets, both in the cross-section and over time. It contains four chapters. The first paper is "Non-separable preferences and risk aversion: Results from the UK". LÄS MER
4. Essays on Sovereign Credit Risk and Credit Default Swap Spreads
Sammanfattning : This doctoral thesis consists of 4 self-contained chapters: Sovereign Credit Default Swap Premia. This comprehensive review of the literature on sovereign CDS spreads highlights current academic debates and contrasts them with contradictory statements from the popular press. Real Economic Shocks and Sovereign Credit Risk. LÄS MER
5. After Work - Investing for Retirement
Sammanfattning : The first three papers are the result of work on various aspects of pension savings. The framework for analysis and common to all papers; is a life-cycle model of a borrowing-constrained individual's consumption- and portfolio-choices in the presence of uncertain labour-income. LÄS MER