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Currency swap valuation

by Atakhanov, Bekhzod
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Atakhanov, Bekhzod Currency swap valuation
Atakhanov, Bekhzod - Currency swap valuation

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Delivery: between 2021-04-28 and 2021-04-30
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Description

This paper analyzes the valuation methods of currency swaps, studying the valuation technique applied in each, highlighting the differences and shortcomings. Swaps being one of the highly adaptable financial instruments and the fact that are traded OTC obliged the pricing method to be flexible, as no comparison of market and model prices is attainable. Considered valuation approaches are based on interest rate swap valuation and deeply covered the relations between discount curves, forward rates and zero-coupon bonds. Zero-coupon method, discount curve method, modified discount curve method and its combination are considered as a target group for the research. Results are interpreted according to the reviewed literature.

Contributors

Author:
Atakhanov, Bekhzod

Further information

Media Type:
Taschenbuch
Publisher:
LAP Lambert Academic Publishing
Biography Artist:
Studied Finance and Accounting at University of Economics in Prague. Business Process Analyst at Atlas Copco s.r.o.
Language:
Englisch
Number of Pages:
60

Master Data

Product Type:
Paperback book
Release date:
14 March 2014
Package Dimensions:
0.22 x 0.15 x 0.004 m; 0.136 kg
GTIN:
09783659238369
DUIN:
AGKQIR9FASE
£29.99
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