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Accounting for roll-over risk in the pricing of caps and floors
The peak of the global financial crisis necessitated practitioners to rethink the single curve approach to pricing interest-rate derivatives. This was as a result of a violation in spot-forward parity relationships thereby prompting markets to realise the presence of a new type of risk and subsequen...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2023
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