Browsing NTNU Open by Author "Hansen, Øyvind Grande"
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Multifactor Interest Rate Models in Low-Rate Environments
Hansen, Øyvind Grande (Master thesis, 2013)This thesis studies a multi-factor Heath-Jarrow-Morton model and a LIBOR mar- ket model on the Norwegian, European and US interest rate market. The main concerns are the low-rate environment and exposure to negative interest ...