Essays about: "Ulrica Såmark"

Found 1 essay containing the words Ulrica Såmark.

  1. 1. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation

    University essay from Lunds universitet/Matematisk statistik

    Author : Mattias Jönsson; Ulrica Såmark; [2016]
    Keywords : Multi Curve; Volatility Transformation; Negative Rates; shifted SABR; non-standard Tenor; Caps; EUR Market; Mathematics and Statistics;

    Abstract : The SABR model has for a long time been an invaluable tool for capturing the volatility smile and to price nancial derivatives not quoted in the market. However, the current negative rate environment in the EUR market has led to numerous challenges for nancial institutions. READ MORE