Sökning: "Forward-Neutral Measure"

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  1. 1. An Introduction to Modern Pricing of Interest Rate Derivatives

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Hossein Nohrouzian; [2015]
    Nyckelord :Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Sammanfattning : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. LÄS MER