Neuware -With the onset of the financial crisis in late 2007, the market conditions changed radically and the elementary pricing procedure used among practitioners became unreliable and obsolete. This necessitated a change in the methods used in pricing financial products. We discuss post-credit crunch paradigm shift from single-curve to the multi-curve setting. We first present the single curve and explore techniques such as the construction of single yield (spot) curve, and show how we obtain yield measures from the curve and use them to price interest rate swaps and bonds. We then study the multi-curve pricing framework and compare the two pricing methodologies against the practice currently used in Kenya to price bonds and give recommendations.Books on Demand GmbH, �berseering 33, 22297 Hamburg 68 pp. Englisch.

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Bibliographic Details

Title: Application of Multi-Yield Curves Modelling to Kenyan Bonds Market
Publisher: LAP Lambert Academic Publishing Sep 2014
Publication Date: 2014
Language: English
ISBN 10: 3659595268
ISBN 13: 9783659595264
Binding: Taschenbuch
Condition: Neu
Dimensions: 220 millimeters width by 150 millimeters height by 5 millimeters depth
Weight: 119 grams

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Synopsis

With the onset of the financial crisis in late 2007, the market conditions changed radically and the elementary pricing procedure used among practitioners became unreliable and obsolete. This necessitated a change in the methods used in pricing financial products. We discuss post-credit crunch paradigm shift from single-curve to the multi-curve setting. We first present the single curve and explore techniques such as the construction of single yield (spot) curve, and show how we obtain yield measures from the curve and use them to price interest rate swaps and bonds. We then study the multi-curve pricing framework and compare the two pricing methodologies against the practice currently used in Kenya to price bonds and give recommendations.

About the Author

Lucy Muthoni BSc. Actuarial Science (2009), Maseno University MSc. Actuarial Science (2013), University of Nairobi ongoing PhD Financial Mathematics, Strathmore University, Centre for Applied Research in Mathematical Sciences

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