Blar i NTNU Open på forfatter "Vesterdal, Bjørn Erlend"
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Volatility and Dependence in Fixed Income Forward Rates with Application to Market Risk of Derivative Portfolios
Vesterdal, Bjørn Erlend (Master thesis, 2006)This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. A brief background on popular quantile-based risk ...