Essays about: "non-standard Tenor"
Found 1 essay containing the words non-standard Tenor.
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1. Negative Rates in a Multi Curve Framework - Cap Pricing and Volatility Transformation
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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