Tid: 26 november 2007 kl 13.15-14.00 . OBS! Tiden.

Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. OBS! Platsen. Karta!

Föredragshållare: Oskar Schyberg

Titel: A Monte Carlo Approach for Comparing and Evaluating Structured Equity Derivatives, Equity Linked Bonds: Principal Protected Bull Notes, using Visual Basic for Applications in Excel. (Examensarbete)

Sammanfattning: On the Swedish market there has been a large increase of low risk structured equity derivatives.

These low risk equity linked notes are often referred to as "capital guaranteed" or "principal protected". This is because the initial investment is repaid at maturity, regardless the performance of the underlying index.

The possibility of getting an "additional" return depends on the behaviour of the underlying, but also on several other parameters stated in the contract.

In this thesis I will identify these parameters and use them in simulations of future contract returns. This is done by creating an Excel workbook with which the user can compare contracts with different properties, and with other simple derivatives.

I have used Monte Carlo simulation for estimating future values of the underlying. These values are then used when determining the payoff to the investor.

In an effort of creating a user-friendly computer environment, the simulation and comparison is done with Visual Basic for Applications (VBA), and Microsoft Excel 2007.

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