Searched for: contributor%3A%22Grzelak%2C+L.A.+%28mentor%29%22
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Roest, Raoul (author)
Due to their attractive characteristics, convertible and callable bonds became a more important class of fixed-income products within the financial market. Therefore, the need for fair and accurate pricing of convertible and callable bonds increases. Where the convertible option can be considered as a right for the bondholder, the callable...
master thesis 2022
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Jonkman, Niels (author)
We study the impact of wrong-way risk (WWR) on the credit valuation adjustment (CVA) of a portfolio of interest rate swaps (IRSs), using an intensity-based reduced form model. To model WWR in IRSs we create a dependence between he underlying market risk factor of the IRS and the survival probability of the <br/>counterparty. The focus lies on...
master thesis 2021
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van Lange, Dion (author)
This thesis captures the calibration of a FX hybrid model: The FX Black-Scholes Hull-White model. The main focus is on the calibration of the parameters in the Hull-White process: The mean reversion and the volatility parameter. The latter is commonly calibrated as a time-dependent parameter, whilst the mean reversion parameter is not. This...
master thesis 2020
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de Boer, S.G. (author)
This thesis showcases a rather contemporary method of solving a generalized system of stochastic differential equations (SDE's) comparable to the SABR model. The solution is derived from a stochastic-local volatility (SLV) model in which the local volatility (LV) component is kept general. This generality is maintained throughout all derivations...
master thesis 2020
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Borovykh, A.I. (author)
bachelor thesis 2013
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Maree, S.C. (author)
bachelor thesis 2012
Searched for: contributor%3A%22Grzelak%2C+L.A.+%28mentor%29%22
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