hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed … selecting the model, from a set of candidate models, that optimises the hedging of a specified financial contract. In particular … we choose the model whose corresponding price and hedge optimises some hedging performance indicator. The selection …

resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …

energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their … mathematicaltools aiming at a better theory of energy contingent claim pricing/hedging. We proposemany realistic two-factor and three …

The main goal of Master thesis is to analyze U.S. mortgage crisis and test its influence on the particular Lithuanian … market player, pointing the drop and stabilization of its financial indicators. To reach this goal mortgage crisis reasons …

estimates of their creditworthiness. This contrasts sharply with mortgage markets where lenders specialize in specific risk … categories of borrowers and mortgage supply is stepwise linear. The contrast between continuous lending for personal loans and … discrete lending by specialized lenders for mortgage credit has led to concerns regarding the efficiency and equity of mortgage …

nonprime and prime loan default and prepayment behavior. Nonprime loans are identified by mortgage interest rates that are … to call the mortgage or refinance is in the money and this effect is magnified for mortgages with low credit scores …