LAHDHIRI, M. Mohamed amine (2023) Optimal remapping between two yield curves and volatility surfaces PFE - Project Graduation, ENSTA.
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Abstract
In financial markets, there are always structural changes in market data. Therefore, caution should always be exercised in projecting information between market-based structural instruments. Some of these structural tools in Fixed Income markets are Yield Curves and models of volatility cubes. In this report we present at first the idea of remapping information between two yield curves (1 dimensional problem), for hedging purposes with several approaches. And secondly we will apply a similar approach for the remapping between two model volatility surfaces (2-dimensional problem).
Item Type: | Thesis (PFE - Project Graduation) |
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Uncontrolled Keywords: | yield curves, projection, remap, optimization, volatility surfaces. |
Subjects: | Mathematics and Applications |
ID Code: | 9878 |
Deposited By: | Mohamed amine LAHDHIRI |
Deposited On: | 14 nov. 2023 14:50 |
Dernière modification: | 14 nov. 2023 14:50 |
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