Essays about: "BGM-model"
Found 1 essay containing the word BGM-model.
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1. An Assessment of the BGM-model Swap Option Pricing Performance in the Swedish Interest Rate Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis the ability of a full-factor and a two-factor BGM-model to determine current and predict future plain-vanilla swaption prices issued on the Stockholm Interbank Offered Rate (STIBOR) is assessed. The study is conducted on daily data from January 4 to December 30, 2005. READ MORE
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