Application of Multi-Yield Curves Modelling to Kenyan Bonds Market - Softcover

Muthoni, Lucy

 
9783659595264: Application of Multi-Yield Curves Modelling to Kenyan Bonds Market
Softcover
ISBN 10: 3659595268 ISBN 13: 9783659595264
Publisher: LAP LAMBERT Academic Publishing, 2014

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.

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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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Publisher
LAP LAMBERT Academic Publishing
Publication date
2014
Language
English
ISBN 10 
3659595268
ISBN 13 
9783659595264
Binding
Paperback
Number of pages
68