Sökning: "Hossein Nohrouzian"

Hittade 2 uppsatser innehållade orden Hossein Nohrouzian.

1. 1. 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

3. 2. Lattice Approximations for Black-Scholes type models in Option Pricing

   Kandidat-uppsats, Akademin för utbildning, kultur och kommunikation

   Författare :Hossein Nohrouzian; Anne Karlén; [2013]
   Nyckelord :Finance; Black-Scholes; Binomial Models; Financial mathematics;

   Sammanfattning : This thesis studies binomial and trinomial lattice approximations in Black-Scholes type option pricing models. Also, it covers the basics of these models, derivations of model parameters by several methods under different kinds of distributions. LÄS MER