Essays about: "Max Lindquist"

Found 1 essay containing the words Max Lindquist.

  1. 1. The properties of interest rate swaps : An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios

    University essay from KTH/Matematisk statistik

    Author : Max Lindquist; [2012]
    Keywords : ;

    Abstract : The main purpose of this thesis is to analyze the properties of various types of simple interest rates swaps, investigate how they depend on the swap rates of the liquid instruments on the market and the OIS-rates, and analyze how an illiquid instrument should be priced and hedged. The price setting tool used by the Fixed Income division at SEB Merchant Banking has been analyzed, and simulations of the hedging portfolios have been done over a time span of one year. READ MORE