<div class="csl-bib-body">
<div class="csl-entry">Aigner, J. (2017). <i>Different approaches for pricing derivatives in a multi-curve framework</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2017.40555</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2017.40555
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/2963
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dc.description.abstract
About ten years after the financial crisis, the awareness of counterparty credit risk still influences derivatives markets in terms of pricing. This thesis presents the impact on pricing derivatives using different valuation curves. Especially, the correct discounting curve should be chosen corresponding to the funding costs of a financial institution and is not necessarily the same as the curve used to calculate forward rates. Furthermore, different curve construction approaches in a multi-curve world are introduced.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Interest rates
en
dc.subject
multicurve modelling
en
dc.subject
swap
en
dc.subject
collateral
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dc.title
Different approaches for pricing derivatives in a multi-curve framework
en
dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2017.40555
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Jessica Aigner
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik