Essays about: "Libor"

Showing result 11 - 15 of 15 essays containing the word Libor.

  1. 11. Curve Building and SwapPricing in the Presence of Collateral and Basis Spreads

    University essay from KTH/Matematisk statistik

    Author : Simon Gunnarsson; [2013]
    Keywords : Curve building; swap; basis spread; cross currency; collateral;

    Abstract : The eruption of the financial crisis in 2008 caused immense widening of both domestic and cross currency basis spreads. Also, as a majority of all fixed income contracts are now collateralized the funding cost of a financial institution may deviate substantially from the domestic Libor. READ MORE

  3. 12. Calculating sensitivities in the SABR/LIBOR market model for European swaptions

    University essay from Institutionen för fysik

    Author : Moa Hållberg; [2012]
    Keywords : Swaptions; market model; SABR; LIBOR; SABR LIBOR; Sensitivities; Greeks; Vega; Vomma; Volatility smile;

    Abstract : This article presents a new approach for calculating sensitivities of European swaptions. The sensitivities are found by applying an adjoint method to a stochastic volatility model, namely the SABR/LIBOR market model. READ MORE

  4. 13. Pricing Inflation Derivatives : A survey of short rate- and market models

    University essay from KTH/Matematisk statistik

    Author : Damr Tewolde Berhan; [2012]
    Keywords : ;

    Abstract : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. READ MORE

  5. 14. An Exploratory Study of the Effects of Project Finance on Project Risk Management : How the Distinguishing Attributes of Project Finance affects the Prevailing Risk Factor?

    University essay from Handelshögskolan vid Umeå universitet

    Author : Ka Fai Chan; [2011]
    Keywords : project finance; risk management; political risk; country risk; principal-agency risk; business risk; legal entity; non-recourse loan; third-party guarantee;

    Abstract : Project finance is a financing arrangement for projects, and it is characterised by the creation of a legally independent project company financed with non- or limited recourse loans. It is observed that the popularity of project finance is increasing in the recent decades, despite of the impact of Asian financial crisis. READ MORE

  6. 15. Does the credit market induce an industry effect in Private Equity?: An empirical study of Private Equity activity on industry level

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mikael Fraenkel; Sebastian Stime; [2010]
    Keywords : Private Equity; LBO; credit market; industry effect; multiple expansion;

    Abstract : Using a sample of 25,682 private equity deals from 1986-2009 we investigate the relationship between Private Equity activity and the credit market as well as the relative valuation of the industry of the target firm. Our results show that buyout activity is negatively related to the credit spread between high yield bonds and LIBOR. READ MORE