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Aktier & Fonder

Forskningsresultat om prissättning av swappar

Uppgifter
Överordnad kategori: Finansnyheter
Träffar: 2560
Kontrakt som aktieswappar och inflationsswappar har vuxit i popularitet under senare år och nyttjas flitigt av banker och institutioner, framförallt internationellt. Mia Hinnerich tar i sin licentiatavhandling fasta på hur man prissätter finansiella derivat, som t.ex. swappar och swaptioner, när de underliggande tillgångarna är aktier, aktieindex, realränteobligationer eller inflationstakt.

Ett vanligt antagande vid derivatprissättning är att de underliggande tillgångarnas avkastning är normalfördelad. Verkligheten är vanligtvis mer komplex och många tillgångar kan i verkligheten ha så kraftiga prisstegringar och prissänkningar att avkastningen inte kan modelleras korrekt med normalfördelningen.

− I min avhandling föreslås en modell i kontinuerlig tid som tillåter att prisprocesserna i ekonomin även kan göra diskreta hopp, förklarar Mia Hinnerich. Trots att man alltså tillåter prisprocesserna att ha en mer komplicerad fördelning kan man fortfarande prissätta ett flertal derivat med explicita analytiska uttryck. Det innebär en utvidgning av tidigare forskningsresultat vad gäller prissättningar av såväl swappar och swaptioner.

En swap är ett bytesavtal mellan två parter om att byta framtida kassaflöden med varandra, där avtalet specificerar kassaflödena och när i tiden dessa skall utbytas. En aktieswap är ett avtal som till exempel kan vara ett avtal om att byta en på förhand känd fast ränta på ett nominellt belopp mot en på förhand okänd årsavkastning på en specificerad aktie. Man byter i så fall ett fast kassaflöde mot ett rörligt. En swaption är en option på att ingå en swap vid ett förutbestämt framtida datum till en förutbestämd swapränta.

Mia Hinnerich försvarade sin licentiatavhandling ”On the Pricing of Swaps and Swapations” i oktober 2006, vid Handelshögskolan i Stockholm.

För mer information, kontakta gärna:
Mia Hinnrich, institutionen för finansiell ekonomi
Tel: 08-736 9161
E-post: mia.hinnerich(@)hhs.se

Publicerad: 2006-10-31

Källa: www.hhs.se ; Handelshögskolan i Stockholm; Hämtad 12 april 2008