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Interest Rate Derivatives: An analysis of interest rate hybrid products
Stockholm University, Faculty of Science, Department of Mathematics.
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. These are the so-called hybrid products that have multi-assets as underlying instruments. This article focuses on interest rate hybrid products. In this article an analysis of the application of stochastic interest rate models and stochastic volatility models in pricing and hedging interest rate hybrid products will be explored.

Place, publisher, year, edition, pages
2011. , 35 p.
Keyword [en]
Interest rate derivatives, hybrid derivatives, stochastic interest rate, stochastic volatility, Shöbel Zhu Hull White model, hedging interest rate products
National Category
Probability Theory and Statistics
URN: urn:nbn:se:su:diva-56450OAI: diva2:411356
2011-03-23, 31, House 5, Kräftriket, Stockholm, 11:00 (English)
Physics, Chemistry, Mathematics
Available from: 2013-06-27 Created: 2011-04-18 Last updated: 2013-06-27Bibliographically approved

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Chimanga, Taurai
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ReferencesLink to record
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