Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/27302
Author(s): | Ferreira, Daniel Alexandre Velho |
Advisor: | Nunes, João Pedro Vidal |
Date: | 27-Dec-2022 |
Title: | Pricing after the IBOR era |
Reference: | Ferreira, D. A. V. (2022). Pricing after the IBOR era [Dissertação de mestrado, Iscte - Instituto Universitário de Lisboa]. Repositório Iscte. http://hdl.handle.net/10071/27302 |
Abstract: | The main objective of this thesis is to explore the theoretical foundations for interest rate
swaps pricing and valuation. For the swaps, there are two types of underlying interest
rates on which we will look upon: underlying interest rates with some fixed maturity (for
example, the 6-month EURIBOR), and underlying overnight interest rates, which are set
on a daily basis (as, for instance, the secured overnight financial rate). The pricing of
these swaps will rely heavily on both the risk-neutral measure, Q, and on the forward
measure, Qt, which will be defined later. After completing the theory of pricing interest
rate swaps, we will test the pricing accuracy of EUSA mid swap quotes with resource to
a bootstrapped zero-coupon bond curve derived from EESWE swaps. O principal objetivo desta tese é explorar os fundamentos teóricos para a avaliação de swaps de taxas de juro. Para os swaps, existem dois tipos de taxas de juro subjacentes a analisar: taxas de juro subjacentes com maturidade fixa (por exemplo, a EURIBOR a 6 meses) e taxas de juros subjacentes num regime overnight, estas que são fixadas diariamente (por exemplo, a secured overnight financial rate). A avaliação destes swaps irá depender da medida de risco neutro, Q, que assume a money-market account como numerário, e da forward measure, Qt, que será explicitada mais adiante. Após concluir a teoria para a avaliação de swaps de taxas de juro, testaremos a eficácia na avaliação das cotações mid para swaps EUSA com recurso a uma curva de obrigações de cupão zero extraída dos swaps EESWE. |
Department: | Departamento de Finanças |
Degree: | Mestrado em Matemática Financeira |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | T&D-DM - Dissertações de mestrado |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
master_daniel_velho_ferreira.pdf | 449,05 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.