KTH Matematik  

Matematisk Statistik

Tid: 13 mars 2012 kl 11.15-12.00. (Observera dagen och tiden)

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

Föredragshållare: Maxime Vanneste

Titel: Pricing and parameters influencing the Basis: is it a profitable arbitrage opportunity? (Examensarbete - Master thesis)

Abstract The purpose of this report is to present the basis and analyze if it is an arbitrage opportunity. This master thesis explores products needed to compute the basis. Two main products are treated: the credit default swap and the asset-swap. We will investigate how to price these products, in order to get a method to obtain the value of the basis.

The full report (pdf)

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009