Browsing NTNU Open by Author "Stranden, Eirik Aalvik"
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Multi-Factor Interest Rate Models and Portfolio Management within Life Insurance Companies in Low-Rate Environments
Stranden, Eirik Aalvik (Master thesis, 2016)In this Master's thesis we study the equity market and the two multi-factor interest rate models Heath-Jarrow-Morton model (HJM) and the LIBOR market model (LMM) on the Norwegian, European and US interest rate market. These ...