Sökning: "Multi-curve framework"

Hittade 3 uppsatser innehållade orden Multi-curve framework.

  1. 1. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Robert Constantin; Denis Gerzic; [2018]
    Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    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

  3. 2. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Mattias Jönsson; Ulrica Såmark; [2016]
    Nyckelord :Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

    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

  4. 3. Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis

    Master-uppsats, KTH/Matematisk statistik

    Författare :Zakaria El Menouni; [2015]
    Nyckelord :;

    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