Sökning: "HJM framework"
Hittade 5 uppsatser innehållade orden HJM framework.
1. Implied volatility with HJM–type Stochastic Volatility model
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER
2. Cubature on Wiener Space for the Heath--Jarrow--Morton framework
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the forward rate curve. LÄS MER
3. An Introduction to Modern Pricing of Interest Rate Derivatives
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : 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. Pricing Inflation Derivatives : A survey of short rate- and market models
Magister-uppsats, KTH/Matematisk statistikSammanfattning : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. LÄS MER
5. Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet
Magister-uppsats, Institutionen för matematik och fysikSammanfattning : In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps). .. LÄS MER