Essays about: "Lavinia Rognone"

Found 1 essay containing the words Lavinia Rognone.

  1. 1. Pricing Interest Rate Derivatives in a Negative Yield Environment

    University essay from Göteborgs universitet/Graduate School

    Author : Lavinia Rognone; [2017-07-26]
    Keywords : Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

    Abstract : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. READ MORE