Pricing interest rate derivatives : The effects of the 2007 credit crisis
The purpose of this thesis is to compare and analyze the single curve and the multiple curve frameworks used to price interest rate derivatives and to discuss the advantages of the multiple curve framework. We also describe how the overall derivative market has been affected by the 2007 credit crisi...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi
2010
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-13095 |
| Summary: | The purpose of this thesis is to compare and analyze the single curve and the multiple curve frameworks used to price interest rate derivatives and to discuss the advantages of the multiple curve framework. We also describe how the overall derivative market has been affected by the 2007 credit crisis. |
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