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Multi-curve bootstrapping and implied discounting curves in illiquid markets
The credit and liquidity crisis of 2007 has triggered a number of inconsistencies in the interest rate market, questioning some of the standard methods and assumptions used to price and hedge interest rate derivatives. It has been shown that using a single risk-free curve (constructed from market in...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2017
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