Sökning: "Multi-curve framework"
Hittade 3 uppsatser innehållade orden Multi-curve framework.
- Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER
- Master-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : The financial crisis of 2007/2008 has brought about a lot of changes in the interest rate market in particular, as it has forced to review and modify the former pricing procedures and methodologies. As a consequence, the Multi-Curve framework has been adopted to deal with the inconsistencies of the frameworks used so far, namely the single-curve method. LÄS MER