Blar i Institutt for matematiske fag på forfatter "Laading, Jacob"
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Porteføljesikring i volatile finansielle markeder: Evaluering av derivatbaserte sikringsstrategier
Walnum, Alexander (Master thesis, 2009)Oppgaven omhandler evaluering av derivatbaserte sikringsstrategier og inkluderer teori knyttet til modellering av finansielle markeder med og uten hopp, derivatprising basert på denne modelleringen og risikomåling. ... -
Pricing a Bermudan Swaption using the LIBOR Market Model: A LSM approach
Anstensrud, Ole-Petter Bård (Master thesis, 2008)This study will focus on the pricing of interest rate derivatives within the framework of the LIBOR Market Model. First we introduce the mathematical and financial foundations behind the basic theory. Then we give a rather ... -
Simulation of counterparty risk in the Norwegian financial market
Øvergaard, Hans Michael (Master thesis, 2006)This work will study different methods to estimate counterparty credit risk, where the methods represent both analytical approximation and simulation based method. The somewhat more analytical approximation that will be ... -
The Effects of Crude Oil on Stock Markets with use of Markov Switching Models
Wiese, Thor August Mediaas (Master thesis, 2016)In this thesis, a two regime Markov switching (MS) model is implemented to examine the relationship between crude oil, both brent oil and WTI, and stock markets. In particular, the model is applied to stock markets in both ... -
The Performance of Market Risk Measures on High and Low Risk Portfolios in the Norwegian and European Markets.
Bang, Christian Preben (Master thesis, 2012)A basic overview of mathematical finance and pricing theory is given. The Black-Scholes model and the LIBOR Market Model are explained, and their assumptionsare discussed and tested on historical data. The normality of ... -
Volatility and Dependence in Fixed Income Forward Rates with Application to Market Risk of Derivative Portfolios
Vesterdal, Bjørn Erlend (Master thesis, 2006)This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. A brief background on popular quantile-based risk ...