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Modelling stochastic multi-curve basis
As a consequence of the 2007 financial crisis, the market has shifted towards a multi-curve approach in modelling the prevailing interest rate environment. Currently, there is a reliance on the assumption of deterministic- or constant-basis spreads. This assumption is too simplistic to describe the...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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