An Introduction to Modern Pricing of Interest Rate Derivatives

An Introduction to Modern Pricing of Interest Rate Derivatives

This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rat...

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Bibliographic Details
Main Author: Nohrouzian, Hossein
Format: Others
Language:English
Published: Mälardalens högskola, Akademin för utbildning, kultur och kommunikation 2015
Subjects:
Interest Rates
Negative Interest Rates
Market Model
Martingale
Security Market Model
Term Structure Model
Risk-Neutral Measure
Forward-Neutral Measure
LIBOR
HJM
Collateral
Swap
Tenor
Interest Rate Derivatives
CSA Agreement
Bachelier.
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415

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