Application of Multi-Yield Curves Modelling to Kenyan Bonds Market

Lucy Muthoni

ISBN 10: 3659595268 / ISBN 13: 9783659595264

Published by LAP Lambert Academic Publishing, 2014

About this Item

Application of Multi-Yield Curves Modelling to Kenyan Bonds Market | Lucy Muthoni | Taschenbuch | Paperback | 68 S. | Englisch | 2014 | LAP Lambert Academic Publishing | EAN 9783659595264 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu Print on Demand.

Seller Inventory # 105145480

Bibliographic Details

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

About this title

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