KTH Matematik  

Matematisk Statistik

Tid: 7 oktober 2011 kl 10.15-11.00. (Observera dagen och tiden)

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Marc Vignon

Titel: Implementing Sensitivity Calculations for Long Interest Rates Future (Examensarbete - Master thesis)

Abstract In this thesis, Long interest rates Futures are studied, in particular its fundamental contract characteristics such as underlying theoretical bond, its related bond basket and conversion factors, Cheapest-To-Deliver (CTD) and basic market operations. As these financial contracts have come to play an important role in the modern development of financial markets, a close monitoring of its interest sensitivity is of critical importance. Moreover, as speed in treating a deal is also a success factor, more and more deals are treated using front-to-back platforms, such as the one proposed by Murex. The main objective of this thesis was therefore to understand how the interest rate sensitivities of Long interest rates Futures can be calculated, monitored and implemented within the Murex platform.

The full report (pdf)

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009