Pricing interest rate derivatives: pre and post crisis comparison

Oteri, Andrea Martina (A.A. 2017/2018) Pricing interest rate derivatives: pre and post crisis comparison. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Sara Biagini, pp. 43. [Bachelor's Degree Thesis]

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Problem statement. Fixed income market, interest rate derivatives. Pre-crisis scenario: single curve framework. Effects of the 2007-2209 crisis. Post crisis scenario and multiple-curve models.


Bibliografia: p. 42.

Thesis Type: Bachelor's Degree Thesis
Institution: LUISS Guido Carli
Degree Program: Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33)
Chair: Mathematical finance
Thesis Supervisor: Biagini, Sara
Academic Year: 2017/2018
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 04 Apr 2019 12:55
Last Modified: 04 Apr 2019 12:55


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