Essays about: "EURIBOR"

Found 4 essays containing the word EURIBOR.

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

    University essay from Lunds universitet/Matematisk statistik

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

    Abstract : 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

  2. 2. On Calibrating an Extension of the Chen Model

    University essay from KTH/Matematisk statistik

    Author : Martin Möllberg; [2015]
    Keywords : ;

    Abstract : There are many ways of modeling stochastic processes of short-term interest rates. One way is to use one-factor models which may be easy to use and easy to calibrate. Another way is to use a three-factor model in the strive for a higher degree of congruency with real world market data. Calibrating such models may however take much more effort. READ MORE

  3. 3. Interest Rate Parity and Monetary Integration: A Cointegration Analysis of Sweden and the EMU

    University essay from KTH/Matematik (Inst.); KTH/Matematik (Inst.)

    Author : Richard Ruthberg; Steven Zhao; [2014]
    Keywords : Interest Rate Parity IRP ; Covered Interest Parity CIP ; Uncovered Interest Parity UIP ; Forward Rate Unbiasedness Hypothesis FRUH ; Monetary Integration; Sweden; EMU; STIBOR; EURIBOR; Cointegration; Johansen Test; Dynamic OLS; ränteparitet; ränteparitetsvillkoret; kurssäkrad ränteparitet; icke-kurssäkrad ränteparitet; effektiva marknadshypotesen; valutaterminer; monetär integration; Sverige; EMU; STIBOR; EURIBOR; kointegration; Johansen test; dynamisk OLS;

    Abstract : This thesis provides a thorough analysis of the covered- and uncovered interest parity conditions (CIP, UIP) as well as the forward rate unbiasedness hypothesis (FRUH) for Sweden and the European Economic and Monetary Union (EMU). By studying data on interbank rates in Sweden (STIBOR) and the EMU (EURIBOR) as well as the corresponding spot- and forward exchange rates, monetary integration and country-specific risks are determined and analyzed with direct applications to the potential entry of Sweden into the EMU. READ MORE

  4. 4. Stock and bond returns in Europe with the European Central Bank

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Linnea Kylén; [2009]
    Keywords : Stock returns; Bond returns; Monetary policy; Vector autoregressive model; Europe;

    Abstract : This paper examines the relationships between stock and bond returns for key European countries after the establishing of the European Central Bank (ECB) and the introduction of the Euro. It investigates the impact of the ECB monetary policy on stock and bond returns in Germany, Spain, France and Italy. READ MORE