Search for dissertations about: "LIBOR market model"

Showing result 1 - 5 of 6 swedish dissertations containing the words LIBOR market model.

  2. 1. Auri sacra fames : Interest Rates -- Prediction, Jumps and the Market Price of Risk

    Author : Carl Wilkens; Mats Persson; Peter Sellin; Michael Bergman; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; instantaneous interest rate; fixed income market; asset pricing; derivative pricing; Economics; Nationalekonomi;

    Abstract : This thesis consists of three essays investigating different aspects of interest rates."Prediction of Future Risk-Neutral Short-Term Interest Rate Densities: Can the Black, Derman and Toy Model Assist?" (Co-authored with David Vestin. READ MORE

  4. 2. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Author : Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. READ MORE

  5. 3. Essays in Quantitative Finance

    Author : Patrik Karlsson; Nationalekonomiska institutionen; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Abstract : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. READ MORE

  6. 4. Essays on Interbank Markets

    Author : Vanessa Sternbeck Fryxell; Jens Josephson; Yves Zenou; Falko Fecht; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Interbank markets; contagion; economics of networks; interbank reference rates; Economics; nationalekonomi;

    Abstract : This dissertation consists of three self-contained chapters.Price Segmentation on the Interbank Market. Interbank markets are often characterized by a core-periphery structure. The core-banks may hold a favorable position in the short-term unsecured interbank market due to e. READ MORE

  7. 5. Term structure estimation based on a generalized optimization framework

    Author : Marcel Ndengo Rugengamanzi; Torbjörn Larsson; Jörgen Blomvall; Kristoffer Hägglöf; Linköpings universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The current work is devoted to estimating the term structure of interest rates based on a generalized optimization framework. To x the ideas of the subject, we introduce representations of the term structure as they are used in nance: yield curve, discount curve and forward rate curve. READ MORE