Development and calibration of relative value trading models
This thesis presents research into the development and calibration of relative value fixed income trading models. The first chapter provides some background into the models studied, chapters two and three focus on calibration problems relating to an earlier version of the model: the relative value N...
| Main Author: | |
|---|---|
| Published: |
City, University of London
2015
|
| Subjects: | |
| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.716093 |