Yield Curves in the Post-LIBOR World
| dc.contributor.author | Brun, Victor | |
| dc.contributor.department | Chalmers tekniska högskola / Institutionen för matematiska vetenskaper | sv |
| dc.contributor.examiner | Calogero, Simone | |
| dc.contributor.supervisor | Tidblom, Jesper | |
| dc.date.accessioned | 2023-09-27T12:29:26Z | |
| dc.date.available | 2023-09-27T12:29:26Z | |
| dc.date.issued | 2023 | |
| dc.date.submitted | 2023 | |
| dc.description.abstract | The transition from the forward-looking LIBOR to backward-looking rates such as SOFR presents a modelling challenge, as the widely used LIBOR Market Model (LMM) is designed for forward-looking rates. To address this, the generalised Forward Market Model (FMM) has been proposed, capable of describing both forward-and backward-looking rates. In this thesis, we study the properties of the FMM, focusing on the differentiability of the yield to maturity curve implied by the Heath-Jarrow-Morton-fitted FMM. We investigate the non-differentiability of the yield to maturity curve, and show that it is heavily influenced by the choice of zero-coupon bond interpolation method. | |
| dc.identifier.coursecode | MVEX03 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.12380/307115 | |
| dc.language.iso | eng | |
| dc.setspec.uppsok | PhysicsChemistryMaths | |
| dc.subject | Interest rates, backward-looking rates, LIBOR, generalised forward market model, yield curve. | |
| dc.title | Yield Curves in the Post-LIBOR World | |
| dc.type.degree | Examensarbete för masterexamen | sv |
| dc.type.degree | Master's Thesis | en |
| dc.type.uppsok | H | |
| local.programme | Engineering mathematics and computational science (MPENM), MSc |