Essays about: "Tomas Forsberg"

Found 1 essay containing the words Tomas Forsberg.

  1. 1. Swaption pricing and isolating volatility exposure

    University essay from Institutionen för matematik och matematisk statistik

    Author : Tomas Forsberg; [2011]
    Keywords : swaption; option; volatility; swap; interest rate; black scholes; trading;

    Abstract : Starting from basic financial mathematics, we cover the mathematics of pricing swaptions, options on interest rate swaps. We then continue to the topic of obtaining an approximately pure volatility exposure. READ MORE