Agostinelli, Silvia (A.A. 2022/2023) Financial operating limits: how the sensitivities are calculated to monitor market exposure. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 46. [Bachelor's Degree Thesis]

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Abstract/Index

Operating limit framework. Sensitivity operating limit. Greeks. Interest rate risk. Derivatives. Extensive limit framework project. Kondor + and Black and Scholes model. Kondor + financial reports. Project purposes and way of action. Calculation of the exposure to the operating limit. Bonds OTC options. Cap and floors. Swaptions. Future options. Exposure to operating limit. Interface. Consultation GUI. Overdrafts GUI. Ex-ante GUI. Annex: Black, Scholes and Merton model. Premises. European options. Black and scholes formula. A general formula for the call value. Example with deterministic coefficients. Hedging.

References

Bibliografia: p. 45. Sitografia: p. 46.

Thesis Type:	Bachelor's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18)
Chair:	Mathematical finance
Thesis Supervisor:	Biagini, Sara
Academic Year:	2022/2023
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	31 Oct 2023 16:38
Last Modified:	31 Oct 2023 16:38
URI:	https://tesi.luiss.it/id/eprint/36834

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