CPPI Structures on Funds Derivatives
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
With the ever-increasing complexity of financial markets and financial products, many investors now choose to benefit from a manager’s expertise by investing in a fund. This fueled a rapid growth of the fund industry over the past decades, and the recent emergence of complex derivatives products written on underlying funds. The diversity (hedge funds, mutual funds, funds of funds, managed accounts…) and the particularities (liquidity, specific risks) of funds call for adapted models and suited risk management. This thesis aims at understanding the issues and difficulties met when dealing with such products. In particular, we will deal in a great extent with CPPI (Constant Proportion Portfolio Insurance) structures written on funds, which combine the specificities of funds with particularities of such structures. Correctly assessing the corresponding market risks is a challenging issue, and is the subject of many investigations.
Place, publisher, year, edition, pages
2011. , 48 p.
Trita-MAT, ISSN 1401-2286 ; 25
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-102792OAI: oai:DiVA.org:kth-102792DiVA: diva2:556595
Subject / course
Master of Science - Mathematics
UppsokPhysics, Chemistry, Mathematics
Lindskog, Filip, Docent