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Hedging Interest Rate Swaps
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Hedgningstrategier av ränteswappar (Swedish)
Abstract [en]

This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.

Abstract [sv]

Den här uppsatsen undersöker hedgingstrategier för en portfölj bestående av ränteswapar i valutorna EUR och SEK. Syftet är att minimera portföljens varians och samtidigt minimera transaktionskostnaderna. Analysen genomförs med historisk simulering för två olika fall. Först med de verkliga förändringarna i forward- och diskonteringskurvorna. Sedan med hjälp av principalkomponentanalys för att reducera dimensionen av förändringarna i kurvorna. Dessa metoder jämförs med en metod som använder principalkomponenternas varians för att slumpa ut nya principalkomponenter.

Place, publisher, year, edition, pages
2015.
Series
TRITA-MAT-E, 2015:42
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-169390OAI: oai:DiVA.org:kth-169390DiVA: diva2:821940
External cooperation
Handelsbanken
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Supervisors
Examiners
Available from: 2015-06-16 Created: 2015-06-12 Last updated: 2015-06-16Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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