Sökning: "Hull White"

Visar resultat 11 - 15 av 20 uppsatser innehållade orden Hull White.

  1. 11. Swaption pricing under the single Hull White model through the analytical formula and Finite Difference Methods

    Master-uppsats, Mälardalens högskola/Utbildningsvetenskap och Matematik

    Författare :Victor Lopez Lopez; [2016]
    Nyckelord :Hull White; Swaptions; Negative interest rates; Crank-Nicolson;

    Sammanfattning : Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data so it can be used to price interest rate derivatives. LÄS MER

  3. 12. Fibre quality and fertility in male alpacas in Cusco region, Peru

    Uppsats för yrkesexamina på avancerad nivå, SLU/Dept. of Clinical Sciences

    Författare :Fanny Bengtsson; [2016]
    Nyckelord :alpaca; camelid; fibre quality; fertility;

    Sammanfattning : The aim of this study was to evaluate if there is any correlation between fibre quality and male mating behaviour (as a marker of fertility) in alpacas. The theory was that the more masculine males would have coarser fibres with a larger diameter because of higher testosterone levels. LÄS MER

  4. 13. Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap : Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap

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

    Författare :Xinyan Lin; [2015]
    Nyckelord :swaption; hull-white; finite difference; cancellabe swaption;

    Sammanfattning : This thesis mainly focuses on analyzing and pricing European swaption via Crank{Nicolson Finite Dierence method. This paper begins with some rather common instruments, denitions and valuations are also provided. LÄS MER

  5. 14. Pricing Inflation Derivatives : A survey of short rate- and market models

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Damr Tewolde Berhan; [2012]
    Nyckelord :;

    Sammanfattning : 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

  7. 15. Interest Rate Derivatives : An analysis of interest rate hybrid products

    Magister-uppsats, Matematiska institutionen

    Författare :Taurai Chimanga; [2011]
    Nyckelord :Interest rate derivatives; hybrid derivatives; stochastic interest rate; stochastic volatility; Shöbel Zhu Hull White model; hedging interest rate products;

    Sammanfattning : The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. LÄS MER