Essays about: "swaption"

Showing result 1 - 5 of 15 essays containing the word swaption.

  1. 1. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    University essay from Umeå universitet/Institutionen för fysik

    Author : Joel Forsberg; [2022]
    Keywords : Swaptions; Clearinghouse; Compression; Interest rate swap;

    Abstract : 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. READ MORE

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

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : 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;

    Abstract : 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. READ MORE

  4. 3. Constrained Gaussian Process Regression Applied to the Swaption Cube

    University essay from KTH/Matematik (Avd.)

    Author : Adrien Deleplace; [2021]
    Keywords : Swaption cube; Constrained Gaussian process regression; No arbitrage; Option pricing; Hamiltonian Monte Carlo; Swaption-kuben; Regression för gaussiska processer med bivillkor;

    Abstract : 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. READ MORE

  5. 4. Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Niclas Samuelsson; [2021]
    Keywords : fixed income; interest rate derivatives; swaption; cap;

    Abstract : Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. READ MORE

  6. 5. The Swap Market Model with Local Stochastic Volatility

    University essay from KTH/Matematisk statistik

    Author : Mohammed Benmakhlouf Andaloussi; [2019]
    Keywords : ;

    Abstract : 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. READ MORE