Essays about: "Swaption"

Showing result 6 - 10 of 15 essays containing the word Swaption.

  1. 6. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    University essay from KTH/Matematisk statistik

    Author : Simon Carmelid; [2017]
    Keywords : ;

    Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE

  3. 7. SABR Model Extensions for Negative Rates

    University essay from KTH/Matematisk statistik

    Author : Najib Jamjam; [2017]
    Keywords : ;

    Abstract : In this report, we present extensions of the SABR model to negative rates applied to the swaption market. We start by briefly presenting the classical SABR model. Then we study the Shifted, Free Boundary and Mixture SABR Models. READ MORE

  4. 8. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Gustavsson; [2017]
    Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Abstract : 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. READ MORE

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

    University essay from Mälardalens högskola/Utbildningsvetenskap och Matematik

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

    Abstract : 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. READ MORE

  6. 10. 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

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Xinyan Lin; [2015]
    Keywords : swaption; hull-white; finite difference; cancellabe swaption;

    Abstract : 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. READ MORE