Tid: 16 oktober 2000 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Torbjörn Uddevik .

Titel: Trading rules for dynamic liability management. (Examensarbete).


The thesis presents and evaluates two specific methods where the objective is to find an economically credible generic active investment strategy that outperforms a static benchmark strategy.

Firstly, we use a regression approach to determine the factors that explain bond returns and to increase our understanding of the market. From this we form simple generic trading rules that are consistent with the previous experience.

Secondly, we present a trading rule that captures value from the mean reversion of interest rates and explore it in theory and practice.

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