Dissertations / Theses on the topic 'Interest rate derivative'
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Kang, Zhuang. "Illiquid Derivative Pricing and Equity Valuation under Interest Rate Risk." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282168157.
Full textKirriakopoulos, Konstantinos. "Optimal portfolios with constrained sensitivities in the interest rate market." Thesis, Imperial College London, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362717.
Full textPang, Kin. "Calibration of interest rate term structure and derivative pricing models." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36270/.
Full textVan, Wijck Tjaart. "Interest rate model theory with reference to the South African market." Thesis, Stellenbosch : University of Stellenbosch, 2006. http://hdl.handle.net/10019.1/3396.
Full textWu, Andrew Man Kit. "Efficient lattice methods for pricing interest rate options and other derivative securities under stochastic volatility." Thesis, University of Strathclyde, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248776.
Full textMutengwa, Tafadzwa Isaac. "An analysis of the Libor and Swap market models for pricing interest-rate derivatives." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1005535.
Full textGötsch, Irina. "Libor market model theory and implementation." Saarbrücken VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2868878&prov=M&dok_var=1&dok_ext=htm.
Full textChu, Chi Chiu. "Pricing models of equity-linked insurance products and LIBOR exotic derivatives /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHU.
Full textKlípová, Iva. "Nástroje sloužící k zajištění kurzového a úrokového rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-81376.
Full textAlfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.
Full textChimanga, Taurai. "Interest Rate Derivatives : An analysis of interest rate hybrid products." Thesis, Stockholms universitet, Matematiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-56450.
Full textHeap, John. "Enhanced techniques for complex interest rate derivatives." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506270.
Full textSorwar, Ghulam. "Valuation of single-factor interest rate derivatives." Thesis, City University London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312935.
Full textBelkotain, Mehdi. "X-Value Adjustments for Interest Rate Derivatives." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229966.
Full textTwarog, Marek B. "Pricing security derivatives under the forward measure." Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-053007-142223/.
Full textPietersz, Raoul. "Pricing Models for Bermudan-Style Interest Rate Derivatives." [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam ; Rotterdam : Erasmus University Rotterdam [Host], 2005. http://hdl.handle.net/1765/7122.
Full textBouziane, Markus. "Pricing interest rate derivatives a fourier transform based approach." Berlin Heidelberg Springer, 2007. http://d-nb.info/989148165/34.
Full textNohrouzian, Hossein. "An Introduction to Modern Pricing of Interest Rate Derivatives." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415.
Full textNyamai, Dayton. "Pricing of Interest Rate Derivatives under the Cheyette model." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-421201.
Full textKohl-Landgraf, Peter. "PDE valuation of interest rate derivatives from theory to implementation." Norderstedt Books on Demand GmbH, 2007. http://deposit.d-nb.de/cgi-bin/dokserv?id=3009795&prov=M&dok_var=1&dok_ext=htm.
Full textEdwards, Paul. "Quantile hedging interest rate derivatives using the Libor market model." Thesis, Imperial College London, 2005. http://hdl.handle.net/10044/1/11361.
Full textYoshimura, Raytza Resende. "Fatores determinantes do hedge em empresas brasileiras de capital aberto." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-01122016-110003/.
Full textSlinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.
Full textBouziane, Markus [Verfasser]. "Pricing interest rate derivatives : a fourier transform based approach / Markus Bouziane." Berlin, 2008. http://d-nb.info/989148165/34.
Full textSvensson, Emma, and Viktor Tingström. "Pricing interest rate derivatives : The effects of the 2007 credit crisis." Thesis, Jönköping University, JIBS, Business Administration, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-13095.
Full textKaisajuntti, Linus. "Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2226.
Full textLutembeka, Shedrack. "Hedging Interest Rate Derivatives (Evidence from Swaptions) in a Negative Interest Rate Environment: : A comparative analysis of Lognormal and Normal Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-34697.
Full textSarais, Gabriele. "Pricing inflation and interest rates derivatives with macroeconomic foundations." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/25266.
Full textFrey, Roman. "Monte Carlo methods with application to the pricing of interest rate derivatives /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03393436001/$FILE/03393436001.pdf.
Full textKazziha, Soraya. "Interest rate models, inflation-based derivatives, trigger notes and cross-currency swaptions." Thesis, Imperial College London, 2000. http://hdl.handle.net/10044/1/7281.
Full textSmetaniouk, Taras. "Pricing variance derivatives using hybrid models with stochastic interest rates." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/8200.
Full textFodor, Daniel. "Theoretical incentives vs. perceived motives for using interest rate derivatives in Swedish corporations." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-161227.
Full textEl, Menouni Zakaria. "Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-163274.
Full textGu, Ying. "Essays on volatility models using EMM estimation /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/7426.
Full textZhang, Fan. "Extension and application of LIBOR market model /." View Abstract or Full-Text, 2003. http://library.ust.hk/cgi/db/thesis.pl?MATH%202003%20ZHANG.
Full textSingla, Akheil. "Financial Crises & Financial Derivatives: Government Use of Interest Rate Swaps From 2003 - 2012." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1437058804.
Full textWang, Shijun. "Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns." Thesis, Queen Mary, University of London, 2003. http://qmro.qmul.ac.uk/xmlui/handle/123456789/1805.
Full textPark, Tae Young. "Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class." Diss., Virginia Tech, 2001. http://hdl.handle.net/10919/29494.
Full textDamberg, Petter, and Alexander Gullnäs. "Interest rate derivatives: Pricing of Euro-Bund options : An empirical study of the Black Derman & Toy model (1990)." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-24472.
Full textDarbyshire, John Hamish Mcgregor. "Non-Linear Optimisation and Testing in the Field of Risk Management of Interest Rate Derivatives." Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-397452.
Full textvan, de Wiel Wimjan, and Bock Felix Kristopher. "Real Estate Financing and Interest Rate Hedging : A quantitative real estate investment case study." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36235.
Full textRayée, Grégory. "Essays on pricing derivatives by taking into account volatility and interest rates risks." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209649.
Full textWilliams, Lisa E. "Essays on Risk Management Strategies for U.S. Bank Holding Companies." Kent State University / OhioLINK, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=kent1339702030.
Full textHellander, Martin. "Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225.
Full textDalmagro, Lucas Bassani. "Avaliação de derivativos de taxas de juros : uma aplicação do Modelo CIR sobre opções de IDI." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2015. http://hdl.handle.net/10183/127250.
Full textWang, Dan. "Interest-rate models : an extension to the usage in the energy market and pricing exotic energy derivatives." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/5583.
Full textSamuelsson, Niclas. "Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447827.
Full textRiga, Candia. "The Libor Market Model: from theory to calibration." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2011. http://amslaurea.unibo.it/2288/.
Full textGarisch, Simon Edwin. "Convertible bond pricing with stochastic volatility : a thesis submitted to the Victoria University of Wellington in fulfilment of the requirements for the degree of Masters in Finance /." ResearchArchive@Victoria e-thesis, 2009. http://hdl.handle.net/10063/1100.
Full textSun, Jiaqi. "A modelling process of short-term interest rate risk management for the South African commercial banking sector." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6747.
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