Cette thèse porte sur le problème d'allocation de ressource décentralisée, sans argent, où les agents n'ont qu'une connaissance partielle sur le système. L'approche de la thèse sera d'utiliser des échanges locaux, plus exactement des swaps, c'est-à-dire des échanges bilatéraux où chaque agent donne une ressource en échange d'un autre. Le travail se divise en deux parties. La première se concentre sur les problèmes de house market, avec une approche très simple et les agents travaillent sans les connaissances. Le but sera de montrer qu'elle a quand même une performance honorable. Je mettrais en valeur notamment que l'algorithme s'en sort bien par rapport à ceux de la littérature. Et je montrerais même que dans le domaine unimodal, l'algorithme est Pareto-optimal. La deuxième se présente dans une situation plus générale, et où le mécanisme présenté est divisée en 3 parties : protocole de contact, protocole de négociation, et conditions d'arrêt. chaque partie a plusieurs variantes. Je les décrirais et je les testerais expérimentalement. / This thesis covers distributed resources allocation setting, without money balance, where agents have limited knowledge of the system. This thesis will use local swaps, i.e. bilateral deals, where one resource is exchanged for another. This work is divided in two parts. The first part focus the house market, with a very simple mechanism and agents don't use knowledge. The aim will to show that it has however good performances. For this, I will compare the algorithm with those of literature. I will also prove that in the single-peaked domains, this mechanism is Pareto-optimal. The second part examines a general framework. The mechanism contains three sub-protocols : contact protocol, negotiation protocols, and stop conditions. Each protocol will be described and experimented.

Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. The proposed hedge model is the two-stage stochastic optimisation problem created by Blomvall and Hagenbjörk (2020). Systematic term structure innovations (components) are estimated using six different component models including principal component analysis (PCA), independent component analysis (ICA) and rotations of principal components. The component models are evaluated with a statistical test that uses daily swap rate observations from the European swap market. The statistical test shows that for both FRA and IRS contracts, a rotation of regular principal components is capable of a more accurate description of swap rate innovations than regular PCA. The hedging model is applied to an FRA and an IRS swap book separately, with daily rebalancing, over the period 2013-06-21 to 2021-05-11. The model produces a highly effective hedge for the tested component methods. However, replacing the PCA components with improved components does not improve the hedge. The study is conducted in collaboration with two other master theses, each done at separate banks. This thesis is done in collaboration with Swedbank and the simulated swap book is based on the exposure of a typical swap book at Swedbank, which is why the European swap market is studied.

Att utveckla en sofistikerad chatbotlösning kräver stora mängder textdata för att kunna anpassalösningen till en specifik domän. Att manuellt skapa en komplett uppsättning textdata, specialanpassat för den givna domänen och innehållandes ett stort antal varierande meningar som en människa kan tänkas yttra, är ett enormt tidskrävande arbete. För att kringgå detta tillämpas dataaugmentering för att generera mer data utifrån en mindre uppsättning redan existerande textdata. Softronic AB vill undersöka alternativa strategier för dataaugmentering med målet att eventuellt ersätta den nuvarande lösningen med en mer vetenskapligt underbyggd sådan. I detta examensarbete har prototypmodeller utvecklats för att jämföra och utvärdera effekten av olika textaugmenteringsstrategier. Resultatet av genomförda experiment med prototypmodellerna visar att augmentering genom synonymutbyten med en domänanpassad synonymordlista, presenterade märkbart förbättrade effekter på förmågan hos en NLU-modell att korrekt klassificera data, gentemot övriga utvärderade strategier. Vidare indikerar resultatet att ett samband föreligger mellan den strukturella variationsgraden av det augmenterade datat och de tillämpade språkparens semantiska likhetsgrad under tillbakaöversättningar. / Developing a sophisticated chatbot solution requires large amounts of text data to be able to adapt the solution to a specific domain. Manually creating a complete set of text data, specially adapted for the given domain, and containing a large number of varying sentences that a human conceivably can express, is an exceptionally time-consuming task. To circumvent this, data augmentation is applied to generate more data based on a smaller set of already existing text data. Softronic AB wants to investigate alternative strategies for data augmentation with the aim of possibly replacing the current solution with a more scientifically substantiated one. In this thesis, prototype models have been developed to compare and evaluate the effect of different text augmentation strategies. The results of conducted experiments with the prototype models show that augmentation through synonym swaps with a domain-adapted thesaurus, presented noticeably improved effects on the ability of an NLU-model to correctly classify data, compared to other evaluated strategies. Furthermore, the result indicates that there is a relationship between the structural degree of variation of the augmented data and the applied language pair's semantic degree of similarity during back-translations.

Global economies are currently in a tumultuous time with high economic distress, inflation, and volatile interest rate markets. Alongside the increased interest rate climate, yield returns throughout property sectors adjust to compensate for the increased risk. Investors therefore begin to question the relationship between financing costs and property yield levels, in other words, the yield gap. When discussing the yield gap among real estate professionals, the relationship that mainly signifies the one between prime office yields and five-year swap rates. Previous research on similar topics have investigated the relationship between property yields and government bonds. Questions raised currently are, for example, how long it will take for property yield levels to fully adjust to increased financing costs. The thesis therefore aims to analyze the spread between prime office yields and five-year swap rates in Sweden, the UK, France, Germany, and Spain. Further, the paper also aims to explain how borrowers and lenders are impacted by the development of the yield gap and if the spread can be used as a leading indicator for the development of the turnover. The methods used to answer the aims constitute visual analyses, regression analyses and semi-structured interviews. A main finding from the report shows that Sweden’s prime office yield is rather unreactive in response to increasing swap rates. The lag time for when yield levels will respond to changes in swap rates for Sweden is expected to lie between twelve to 36 months. In at least 12 months, the prime office yield for Sweden is expected to be fully adjusted. / Globala ekonomier befinner sig för närvarande i en tumultartad tid med hög ekonomisk nöd, inflation och volatila räntemarknader. Vid sidan av det ökade ränteklimatet anpassar yieldnivåer i fastighetssektorn sig för att kompensera för den ökade risken. Investerare börjar därför att ifrågasätta förhållandet mellan finansieringskostnader och yieldnivåer, med andra ord avkastningsgapet. När man diskuterar avkastningsgapet bland aktörer, förhållandet avser främst den mellan prime kontorsyielder och femåriga swapräntor. Tidigare forskning om liknande ämnen har undersökt sambandet mellan prime yielder och stadsobligationer. Frågor som ställs just nu är till exempel hur lång tid det kommer att ta för yieldnivåerna att helt anpassa sig till ökade finansieringskostnader. Avhandlingen syftar därför till att analysera spridningen mellan prime kontorsyielden och femåriga swapräntor i Sverige, Storbritannien, Frankrike, Tyskland och Spanien. Vidare syftar uppsatsen också till att förklara hur låntagare och långivare påverkas av utvecklingen av avkastningsgapet och om spreaden kan användas som en ledande indikator för utvecklingen av transaktionsvolymen. Metoderna som används för att besvara målen utgör visuella analyser, regressionsanalyser och semistrukturerade intervjuer. Ett huvudfynd från rapporten visar att Sveriges prime kontorsyield är tämligen oreaktiv som svar på stigande swapräntor. Fördröjningen tidpunkten för när avkastningsnivåerna kommer att reagera på förändringar i swapräntorna för Sverige väntas ligga mellan tolv och 36 månader. Om minst 12 månader förväntas prime kontorsyielden för Sverige vara helt justerad.

In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. In this thesis the pricing of financial instruments and behaviour of the market data used as inputs in the models has been investigated. This is to give better insight into what is classified as significant market data, how it is used and how it is approximated. Instruments that have been investigated are autocalls, swaps, European options and Asian options. The result is presented as general recommendations for how to classify the specified instruments with clearer boarders introduced between the levels in the hierarchy. Methods and deductions introduced in the thesis could also further be implemented in classification of closely related financial instruments but has been limited in this thesis due to time restrictions.     Nyckelord på svenska IFRS, Finansiella instrument, Klassificering, Fair value, Fair value hierarchy, Autocall, Swap, Europeisk option, Asiatisk option, Implicit volatilitet, Korrelation, Marknadsaktivitet, Räntesatser / I denna uppsats är ett generellt ramverk och medföljande riktlinjer för hur man klassificerar finansiella instrument inom fair value hierarkin (inkluderad i IFRS 13) presenterat. IFRS 13 introducerar en bred och löst definierad regulation om hur klassificering finansiella instrument ska gå till som lämnar rum för feltolkningar och oklarheter. I denna uppsats har prissättningen av finansiella instrument och beteende av marknadsdata som används i modellerna undersökts. Detta ger en bättre inblick i vad som klassificeras som signifikant marknadsdata, hur den används och hur den kan approximeras. Instrument som har undersökts är autocalls, swaps, europeiska optioner och asiatiska optioner. Resultatet presenteras som allmänna rekommendationer för hur man klassificerar de angivna instrumenten med tydligare gränser som införts mellan nivåerna i hierarkin. Metoder och slutsatser som är presenterade i uppsatsen kan även vidare användas vid klassifikation av liknande finansiella instrument men har i denna avhandling begränsats på grund av tidsskäl.

[pt] Investidores aceitam retornos inferiores em ativos que ofereçam liquidez e segurança, sendo tal desconto conhecido como taxa de conveniência. Este estudo utiliza a diferença entre a taxa fixa do swap de juros e a taxa de juros dos títulos do tesouro como medida da taxa de conveniência. Enquanto a literatura comumente foca na análise do referido prêmio especificamente para os Estados Unidos, construo uma estratégica de swap spread para quatro países: Estados Unidos, Reino Unido, Brasil e Polônia, sendo os dois primeiros desenvolvidos e os demais emergentes. Os resultados mostram que a taxa de conveniência dos países desenvolvidos analisados é, em média, positiva e atinge valores extremos durante crise financeira, em linha com os demais artigos sobre o assunto. Diferentemente, a taxa dos países emergentes é, na maior parte do período, negativa e assume montantes ainda menores em momentos de estresse, comportando-se, portanto, de forma oposta. Empiricamente, essa diferença entre a taxa de conveniência calculada para os Estados Unidos e para o Brasil é relacionada a medidas de liquidez e de risco, levando à compreensão de que em momentos de estresse financeiro, o tesouro americano sustenta uma taxa de conveniência ainda maior do que a do tesouro brasileiro. / [en] Investors are willing to accept lower returns when investing in assets that provide liquidity and safety. This discount is acknowledged as convenience yield. This study considers the difference between the fixed leg of an interest rate swap and the treasury bond yield as a measure of the convenience yield. While the literature commonly focuses on the analysis of this referred premium for the United States, I construct a swap spread strategy for four countries: United States, United Kingdom, Brazil and Poland. The former two are developed countries while the latter are emerging countries. The results show that the convenience yield for the developed countries analyzed is, on average, positive and hits extreme values during financial crisis, in accordance with other papers on this issue. Distinctly, the yield for emerging countries is mostly negative and incurs in even lower amounts at moments of distress, behaving in the opposite way. Empirically, this difference between the convenience yield calculated for the United States and for Brazil is related to measures of liquidity and safety premium, entailing to the understanding that at moments of financial stress, the American treasury sustains an even larger convenience yield when compared to the Brazilian treasury.

In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. The normal way of doing this is to use Credit Default Swap (CDS) spreads from the CDS market. In some cases, there is no associated liquid CDS market, and in those cases, it is market practice to use proxy CDS spreads. In this thesis, transformer models are used to generate proxy CDS spreads with a certain region, rating, and tenor from stand-alone CDS spread data. Two different models are created to do this. The first simpler model is an encoder-based model that uses stand-alone CDS data from a single company to generate one proxy spread per inference. The second, more advanced model is an encoder-decoder model that uses stand-alone CDS data from three companies to generate one proxy spread per inference. The performance of the models is compared, and it is shown that the more advanced model outperforms the simpler model. It should, be noted that the simpler model is faster to train. Both models could be used for data validation. To create the transformer models, it was necessary to implement custom embeddings that embedd specific corporate information and temporal information regarding the CDS spreads. The importance of the different embeddings was also investigated, and it is clear that certain embeddings are more important than others. / I efterdyningarna av kreditkrisen 2007 så ökade betydelsen av CVA vid prissättning av OTC derivat. En viktig del av prissättningen av OTC derivat är att avgöra PDs för den aktuella motparten. Om det finns en likvid CDS marknad för motparten så kan man använda sig av CDSs spreadar dirket från marknaden för att avgöra PDs. I många fall så saknas en sådan likvid CDS marknad. Då är det praksis att istället använda sig av proxy CDS spreadar. I den här uppsatsen så presenteras två transformer modeller för att generera proxy CDS spreadar för bestämda kombinationer av region, rating och löptid från enskilda företags CDS spreadar. Den först enklare modellen är en encoder baserad modell som använder sig av data från ett enskilt företag för att generera en proxy spread per inferens. Den andra modellen är en mer avancerad encoder-decoder modell. Den mer avancerade modellen använder sig av data från tre företag för att generera en proxy spread. I uppsatsen jämförs dessa modeller och man kan konstatera att den mer avancereade modellen genererar mer exakta CDS spreadar. Den enklare modellen är dock betydligt enklare att träna och båda modellerna kan användas i syfte att validera det riktiga proxy datat. För att kunna skapa modellerna så var det en nödvändighet att implementera specialbyggda embeddings som kodad in temporal information och företagsspecifik information om CDS spreadarna. Dessutom så testades vikten av enskilda embeddings och det var uppenbart att vissa embeddings var viktigare än andra.

Seit der Entdeckung der arbitragefreien Bewertung hat sich das Gebiet finance grundlegend geändert - sowohl in der Theorie als auch in der Anwendung. Märkte für Derivate haben sich entwickelt und Optionen dienen heutzutage als Basis- und als Absicherungsinstrumente. In dieser Dissertation betrachten wir einige Märkte für Aktienderivate. Wir beginnen mit statistischen Analysen des Marktes für europäische Optionen und des Marktes für Varianzswaps, weil diese Produkte die hauptsächlichen Absicherungsinstrumente für komplexe Optionen sind. Dann betrachten wir verschiedene Optionspreismodelle und ihre Kalibrierung an beobachtete Preisoberflächen. Schließlich untersuchen wir die Verbindung zwischen Optionspreisen und dem grundlegenden ökonomischen Konzept der Risikoaversion anhand des empirischen Preiskernes. / Since the ideas of arbitrage free pricing were born, finance has changed radically - both in theory and practice. Derivatives markets have evolved and options serve nowadays as underlyings and as hedging instruments. In this thesis, we consider some markets for equity derivatives. We start by statistical analysis of the markets for European options and variance swaps because these products are important for hedging more complex claims. Then we consider different option pricing models and their calibration to observed price surfaces. Finally, we investigate the connection between option prices and the fundamental economic concept of risk aversion by the empirical pricing kernel.

固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品，目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價，也各自推導出近似封閉解，但對於相關參數之估計以及避險參數並沒有涉及，因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數，讓評價模型更加完備，並求算避險參數，提供發行商與投資人避險資訊。 本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物，發行一檔固定期信用違約交換，並利用現有市場資訊估計模型中的參數。在避險實證上，本文利用標的物債券信用價差曲線的變動，對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響，建構了一個避險投資組合，使得避險後總投資組合價值波動減少。 / Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors. By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product.

本研究分為兩個部份，第一部份提出評價選擇權時，應考慮加價利益(Mark-Up Interest)的觀點，第二部份則提出信用違約交換選擇權的新評價模型。 在第一部份，所謂加價利益是指選擇權賣方為彌補採取避險組合後仍可能發生的損失而向選擇權買方收取的風險補償。本研究的方法是將選擇權市價拆解成理論公平賭局價格與加價利益，建立包含加價利益、買賣權平價理論、隱含標的價格與猜測波動度的選擇權評價模型，解決隱含波動度微笑(implied volatility smile)所帶來模型內部不一致的問題。在建立各種情境條件下之加價利益後，可用來評估選擇權市價的合理性，以提升買賣雙方對市價的合理判斷，有利於風險管理者進行選擇權之造市操作與避險。本研究經由對台指選擇權(TXO)的實證結果發現：加價利益受到距到期交易日、價況程度(moneyness)及猜測波動度的影響。 第二部份所提出之信用違約交換選擇權的新評價模型則是延伸Schonbucher ( 2000, 2003, 2004 )、Brigo ( 2004, 2005a, 2005b, 2006 )、Brigo & Mercurio ( 2006 )、Brigo & Morini ( 2005 )、Jamshidian ( 2004 ) 與Wu ( 2006 ) 的研究，以市場上交易之各年期信用違約交換之商品所導出之費率期間內之各單期( single tenor )遠期信用違約交換率之費率端價值做為計價資產，假設各單期遠期違約交換率為對數常態分配下，可以將信用違約交換選擇權拆解為由各單期加總之違約交換選擇權，應用在投資銀行發行許多相同標的但不同起始日、不同到期日之一系列信用違約交換選擇權( CDS options )時，可以具有評價簡易的優勢，吻合各期間之信用市場狀況，避免套利機會，並能運用信用違約交換( CDS )，增進避險與管理信用風險之技術。 / This thesis is composed of two parts. The first part is the standpoint of the “Mark-Up Interest” on options. The second part is the new model about pricing and hedging on credit default swap options. In the first part, the Mark-Up Interest is regarded as the reward on the hedging portfolio to compensate for possible losses. For presenting this, options market prices are decomposed into the fair-game options prices and the Mark-Up Interests. The options pricing model formed with the Mark-Up Interest, put-call parity, implied underlying price, and guessed volatility is used to solve the internal inconsistence caused by the implied volatility smiles. Therefore, the justness of the options market prices could be estimated with the Mark-Up Interests under different scenarios. The result will help the risk manager to do market making and hedging. The empirical results based on the Options on Taiwan Stock Exchange Weighted Stock Index (TXO) in this paper are as follows: The trading days to expiry, moneyness, and guessed volatility are the factors affecting the Mark-Up Interests. The second part of this thesis extends the research on Schonbucher ( 2000, 2003, 2004 ), Brigo ( 2004, 2005a, 2005b, 2006 ), Brigo & Mercurio ( 2006 )、Brigo & Morini ( 2005 ), Jamshidian ( 2004 ) and Wu ( 2006 ). We use the fee leg of the single tenor forward credit default swap rate ( tenor CDS rate ) as numeraire. Under the lognormal distribution assumption on the tenor CDS rate, we decompose a credit default swap option into the sum of tenor CDS options. The result can be used by investment banks to manage credit risk when their derivative book consists of different start-date and end-date CDS options. In addition, our result shows that CDS can be used to hedge against the risk of CDS options. The proposed method helps improve the techniques of hedging and managing credit risk.