Swap pricing methods: effects of the post-crisis market evolution and multicurve discounting in KONDOR+

Caltabiano, Chiara (A.A. 2017/2018) Swap pricing methods: effects of the post-crisis market evolution and multicurve discounting in KONDOR+. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Sara Biagini, pp. 62. [Bachelor's Degree Thesis]

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Abstract/Index

Market rates. Derivatives: forward contract, FRA and IRS. MArket evolution. The new pricing model: the multi-curve approach. KONDOR+.

References

Bibliografia e sitografia: pp. 56-58.

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: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 15 Jan 2019 13:19
Last Modified: 15 Jan 2019 13:19
URI: https://tesi.luiss.it/id/eprint/21884

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