Sökning: "Zakaria El Menouni"

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  1. 1. 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