Essays about: "discount curve"
Showing result 1 - 5 of 6 essays containing the words discount curve.
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1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE
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2. Interpolation of Yield curves
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this thesis we survey several interpolation methods that are used to construct the yield curves. We also review the bootstrapping and show that the bootstrap is closely connected to the interpolation in the case of bootstrapping yield curve. READ MORE
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3. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation
University essay from Lunds universitet/Matematisk statistikAbstract : 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. READ MORE
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4. Hedging Interest Rate Swaps
University essay from KTH/Matematisk statistikAbstract : This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. READ MORE
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5. Implications of Multiple Curve Construction in the Swedish Swap Market
University essay from KTH/Entreprenörskap och InnovationAbstract : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. READ MORE