Sökning: "Hull-White one-factor"

Hittade 2 uppsatser innehållade orden Hull-White one-factor.

1. 1. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Isabelle Frodé; Viktor Sambergs; [2022]
   Nyckelord :xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

   Sammanfattning : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. LÄS MER

3. 2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jan Müller; [2022]
   Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER