Essays about: "Forward Rate Agreement"

Found 3 essays containing the words Forward Rate Agreement.

  1. 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 School

    Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Abstract : 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

  3. 2. An Introduction to Modern Pricing of Interest Rate Derivatives

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Hossein Nohrouzian; [2015]
    Keywords : Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Abstract : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. READ MORE

  4. 3. The freedom of establishment and German corporation tax - an analysis of the Saint-Gobain judgement

    University essay from Lunds universitet/Juridiska institutionen

    Author : Nina Svensson; [2000]
    Keywords : Skatterätt; Law and Political Science;

    Abstract : Non-harmonized direct taxes fall within the Member States' competence. This means that the Member States are free to develop their own tax systems, as long as there is no Community harmonisation. READ MORE