Sökning: "Over-the-counter derivatives market"

Hittade 2 avhandlingar innehållade orden Over-the-counter derivatives market.

1. 1. Essays in Quantitative Finance

   Författare :Patrik Karlsson; Nationalekonomiska institutionen; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

   Sammanfattning : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. LÄS MER

3. 2. Competition, regulation and integration in international financial markets

   Författare :Jens Nystedt; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : Chapter I - Derivative Market Competition: OTC Markets Versus Organized Derivative Exchanges Recent regulatory initiatives in the United States have again raised the issue of a ''level regulatory and supervisory playing field'' and the degree of competition globally between over-the-counter (OTC) derivatives and organized derivative exchange (ODE) markets. This chapter models some important aspects of how an ODE market interrelates with the OTC markets. LÄS MER