Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2023
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!