Bootstrapping yield curves

Financial market’s stability depends on the accurate pricing of financial products traded in the market. This makes accurate pricing of products a top priority for the banks and financial instruments. Inaccurate prices can lead to instability in the market and formation of bubbles. This leads into market crashes such as the 2008 crash where the housing prices bubble caused the market crash. This project’s aim is to develop a tool for the bank to price financial products. This tool will provide the information required for pricing a product. This tool uses the available products in the market to obtain the structure and information required for pricing a product. Moreover, this tool will allow the bank to study the discrepancies in the prices of products available in the market.

Faculty Supervisor:

Dr. Yuri A. Lawryshyn

Student:

Ali Bashiri

Partner:

Canadian Imperial Bank of Commerce

Discipline:

Engineering - computer / electrical

Sector:

Finance, insurance and business

University:

University of Toronto