Sökning: "swaption pricing"
Visar resultat 1 - 5 av 10 uppsatser innehållade orden swaption pricing.
1. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysikSammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER
2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : 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
3. Constrained Gaussian Process Regression Applied to the Swaption Cube
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This document is a Master Thesis report in financial mathematics for KTH. This Master thesis is the product of an internship conducted at Nexialog Consulting, in Paris. This document is about the innovative use of Constrained Gaussian process regression in order to build an arbitrage free swaption cube. LÄS MER
4. The Swap Market Model with Local Stochastic Volatility
Master-uppsats, KTH/Matematisk statistikSammanfattning : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. LÄS MER
5. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER