Interest rate derivatives pricing: how negative interest rates affect the valuation: an empirical analysis
Santoro, Emanuele (A.A. 2020/2021) Interest rate derivatives pricing: how negative interest rates affect the valuation: an empirical analysis. Tesi di Laurea in Risk management and compliance, Luiss Guido Carli, relatore Giancarlo Mazzoni, pp. 91. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Models-an industry overview. Holistic overview of standard models in the industry. New volatility conventions–bachelier/normal model. Dealing with negative interest rates. Preliminary specifications to handle IRDs pricing: stripping and calibration. Crash introduction to stripping and calibration. Caplet stripping. The underlying idea of calibration. Research sample–model specification and calibration procedure. Bachelier model. Shifted black model. Shifted SABR model. Data explanation and analysis design. Results & discussions. Volatilities results: stripping, smile and surface. Parameter analysis.
References
Bibliografia: pp. 89-90.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Risk management and compliance |
| Thesis Supervisor: | Mazzoni, Giancarlo |
| Thesis Co-Supervisor: | Curcio, Domenico |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 Sep 2022 14:33 |
| Last Modified: | 07 Sep 2022 14:33 |
| URI: | https://tesi.luiss.it/id/eprint/33243 |
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