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1. Curve Building and SwapPricing in the Presence of Collateral and Basis Spreads
Master-uppsats, KTH/Matematisk statistikSammanfattning : The eruption of the financial crisis in 2008 caused immense widening of both domestic and cross currency basis spreads. Also, as a majority of all fixed income contracts are now collateralized the funding cost of a financial institution may deviate substantially from the domestic Libor. LÄS MER
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