Managing Multi-Asset Exposure

Specialeforsvar ved Louise Juul Mousten

Titel: Managing Multi-Asset Exposure 

Abstract: With outset in classical models (Black-Scholes, Vasicek) this thesis studies the valuation of financial contracts whose payoffs are contingent on multiple quantities; equity and interest rates for instance. The thesis will then undertake a practical/empirical investigation of the suitability of multi-contingency contracts for risk management; benefits compared to single-asset contracts, dynamic vs. static hedging

Vejleder: Rolf Poulsen
Censor: David Sloth Pedersen, Danske Bank