Sökning: "Zero-Coupon rate"
Hittade 3 uppsatser innehållade orden Zero-Coupon rate.
1. Volatility- An investigation of the relationship between price- and yield volatility
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : This report investigates the relationship between the yield volatility and the price volatility in the Swedish market. The method given in our report can be used to analyze any market with appropriate data set. We have used a time-series data of interest rate yield curves from Swedish government bonds. LÄS MER
2. Risk premia implied by derivative prices
Master-uppsats, KTH/Matematisk statistikSammanfattning : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. LÄS MER
3. Mispricing Due to Nelson-Siegel-Svensson model
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : Most trading software in the market uses linear interpolation in the bootstrap procedure to create a zero coupon interest rate curve. Forward interest rate curves created by interpolation method have a zigzag form that is inconsistent with arbitrage condition. LÄS MER