Monte Carlo valuation of worst-of auto-callable equity swaps

Detalhes bibliográficos
Autor(a) principal: Dias, Alecsandri de Almeida Souza
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/17339
Resumo: This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.
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spelling Monte Carlo valuation of worst-of auto-callable equity swapsDomínio/Área Científica::Ciências SociaisThis thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.Matos, João Amaro deRUNDias, Alecsandri de Almeida Souza2016-05-19T13:40:32Z2012-122012-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/17339enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:55:11Zoai:run.unl.pt:10362/17339Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:23:54.353916Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Monte Carlo valuation of worst-of auto-callable equity swaps
title Monte Carlo valuation of worst-of auto-callable equity swaps
spellingShingle Monte Carlo valuation of worst-of auto-callable equity swaps
Dias, Alecsandri de Almeida Souza
Domínio/Área Científica::Ciências Sociais
title_short Monte Carlo valuation of worst-of auto-callable equity swaps
title_full Monte Carlo valuation of worst-of auto-callable equity swaps
title_fullStr Monte Carlo valuation of worst-of auto-callable equity swaps
title_full_unstemmed Monte Carlo valuation of worst-of auto-callable equity swaps
title_sort Monte Carlo valuation of worst-of auto-callable equity swaps
author Dias, Alecsandri de Almeida Souza
author_facet Dias, Alecsandri de Almeida Souza
author_role author
dc.contributor.none.fl_str_mv Matos, João Amaro de
RUN
dc.contributor.author.fl_str_mv Dias, Alecsandri de Almeida Souza
dc.subject.por.fl_str_mv Domínio/Área Científica::Ciências Sociais
topic Domínio/Área Científica::Ciências Sociais
description This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.
publishDate 2012
dc.date.none.fl_str_mv 2012-12
2012-12-01T00:00:00Z
2016-05-19T13:40:32Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/17339
url http://hdl.handle.net/10362/17339
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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