The new €STR rate and derivative pricing frameworks

Argenton, Gabriele (A.A. 2021/2022) The new €STR rate and derivative pricing frameworks. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 35. [Bachelor's Degree Thesis]

[img] PDF (Full text)
Restricted to Registered users only

Download (1MB) | Request a copy


Interest rate benchmarks. The 2007 crisis and the reform process. The new €STR rate. The transition phase. The pre-crisis approach. An introduction to interest rate derivatives. Single curve pricing framework. OIS discounting framework. Interest rate markets and the 2007 credit crunch. OIS discounting curve construction. Dual curve pricing framework. Bootstrapping the LIBOR forward curve from the OIS curve.


Bibliografia: pp. 34-35.

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: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 29 Sep 2022 07:53
Last Modified: 29 Sep 2022 07:53


Downloads per month over past year

Repository Staff Only

View Item View Item