Inflation This presentation gives a survey of Inflation-Linked Products. The presentation includes the following topics: Inflation-Linked Bonds, Inflation-Swaps, CPI, inflation rate, implying the CPI-curve from Market-data, risk-measures (inflation and interest-rate...
Danish Mortgage Modeling in FinE The purpose of this white-paper is to give an introduction to how FinE models prepayment behaviour.The paper is organized as follows. It starts off with a short survey of the Danish Mortgage Credit System. Next we look at the factors...
Libor Model Simulation The presentation gives a survey of the different methods/models that are available for the pricing of American/Bermudan options using Monte-Carlo. The interest in finding efficient ways to do that followed the introduction of the so-called...
Term-structure dynamics and the determination of state-variables– a multi-factor approach In this paper we extend the traditional approach in the literature that uses Principal Component Analysis (PCA) when analyzing the dynamic in the yield-curve by taking into...
A 3-factor model for the yield-curve dynamics – the case of stochastic spot-rate, market price of risk and volatility This paper proposes a new 3-factor model for the dynamic in the yield-curve which belongs to the Affine class of term structure models. Using a...
