Pricing and hedging a participating forward contract
| dc.contributor.advisor | Danışoğlu, Seza | |
| dc.contributor.advisor | Sezer, Ali Devin | |
| dc.contributor.author | Ünver, İbrahim Emre | |
| dc.date.accessioned | 2020-12-10T09:06:32Z | |
| dc.date.available | 2020-12-10T09:06:32Z | |
| dc.date.submitted | 2013 | |
| dc.date.issued | 2018-08-06 | |
| dc.identifier.uri | https://acikbilim.yok.gov.tr/handle/20.500.12812/223793 | |
| dc.description.abstract | Yerli bir bankanın ABD Doları uzerine yazdıgı Katılım Vadeli Kontratın fiyatlama ve korunmaprosedurunu Garman-Kohlhagen modelinden yararlanarak yaptık. Piyasadan gercekdatalar kullanıldı ve korunma portfoyu haftalık yenilendi. Haftalık korunma yapılmıs¸, oynaklıkve faizler uzerine bircok varsayım kabullenilmis olmasına ragmen kullanılan modeltutarlı bir korunma proseduru saglamıstır. | |
| dc.description.abstract | We use the Garman-Kohlhagen model to compute the hedge and price of a participating forwardcontract on the US dollar that is written by a Turkish Bank. The algorithm is computedusing actual market data and a weekly updated hedge is computed. We note that despite aweekly update and many assumptions made on the volatility and the interest rates the modelgives a very reasonable hedge. | en_US |
| dc.language | English | |
| dc.language.iso | en | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | Attribution 4.0 United States | tr_TR |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Matematik | tr_TR |
| dc.subject | Mathematics | en_US |
| dc.title | Pricing and hedging a participating forward contract | |
| dc.title.alternative | Katılım vadeli kontrat: Fiyatlama ve korunma | |
| dc.type | masterThesis | |
| dc.date.updated | 2018-08-06 | |
| dc.contributor.department | Finansal Matematik Anabilim Dalı | |
| dc.identifier.yokid | 459796 | |
| dc.publisher.institute | Uygulamalı Matematik Enstitüsü | |
| dc.publisher.university | ORTA DOĞU TEKNİK ÜNİVERSİTESİ | |
| dc.identifier.thesisid | 324789 | |
| dc.description.pages | 39 | |
| dc.publisher.discipline | Diğer |
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