Sökning: "Bachelier model"

Hittade 3 uppsatser innehållade orden Bachelier model.

1. 1. Pricing Interest Rate Derivatives in a Negative Yield Environment

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Lavinia Rognone; [2017-07-26]
   Nyckelord :Interest rate derivatives; negative strikes; negative yield; normal model; Bachelier model; shifted Black model; shifted SABR model;

   Sammanfattning : The main purpose of this thesis is to price interest rate derivatives in the today negative yield environment. The plain vanilla interest rate derivatives have now negative strikes and negative values of the underlying asset, the forward rate. LÄS MER

3. 2. An Introduction to Modern Pricing of Interest Rate Derivatives

   Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Hossein Nohrouzian; [2015]
   Nyckelord :Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

   Sammanfattning : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. LÄS MER

4. 3. Problem of hedging of a portfolio with a unique rebalancing moment

   Magister-uppsats, Tillämpad matematik och fysik (MPE-lab)

   Författare :Georgy Mironenko; [2012]
   Nyckelord :Financial Mathematics; optimal stopping problem; mean-square criterion; hedging; optimal portfolio rebalansing;

   Sammanfattning : The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. LÄS MER