Tid: 28 maj 2012 kl 15.15-16.00.Seminarierummet 3721, Institutionen för Matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Fredrik Hansson
Titel: A pricing and performance study on auto-callable structured products (Examensarbete - Master thesis)
Abstract We propose an algorithm to price and analyze the performance of auto-callable structured financial products. The algorithm contains Monte-Carlo simulations in order to reproduce, as probable as possible, a future product. This model is then compared to other, previously presented models. The different in-data parameters together with a time dependency study is then performed to evaluate what one might expect when investing in these products. Numerical results conclude that, the risks taken by the investor closely reflect the potential return for each product. When constructing these products for the near future, one must closely evaluate the demand from the investors i.e. evaluate the level of risk that the investors are willing to take.
|Sidansvarig: Filip Lindskog