Essays about: "Räntederivat"
Found 4 essays containing the word Räntederivat.
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1. X-Value Adjustments for Interest Rate Derivatives
University essay from KTH/Matematisk statistikAbstract : In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. READ MORE
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2. Theoretical incentives vs. perceived motives for using interest rate derivatives in Swedish corporations
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : The purpose of this research is to highlight if contemporary practices for using interest rate derivatives in large non-financial Swedish corporations are consistent with theoretical incentives for using such derivative instruments. Most theoretical incentives were developed before the financial crisis of 2007-08. READ MORE
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3. Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis
University essay from KTH/Matematisk statistikAbstract : The financial crisis of 2007/2008 has brought about a lot of changes in the interest rate market in particular, as it has forced to review and modify the former pricing procedures and methodologies. As a consequence, the Multi-Curve framework has been adopted to deal with the inconsistencies of the frameworks used so far, namely the single-curve method. READ MORE
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4. Curve Building and SwapPricing in the Presence of Collateral and Basis Spreads
University essay from KTH/Matematisk statistikAbstract : 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
