Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface
Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. This report is concerned with the trying to provide prices for options...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Tillämpad matematik och statistik
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447827 |