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]
PDF (Full text)
Restricted to Registered users only Download (1MB) | Request a copy |
Abstract/Index
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.
References
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 |
URI: | https://tesi.luiss.it/id/eprint/33490 |
Downloads
Downloads per month over past year
Repository Staff Only
View Item |