Essays about: "HJM framework"

Found 5 essays containing the words HJM framework.

  1. 1. Implied volatility with HJM–type Stochastic Volatility model

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

    Author : Thi Diu Cap; [2021]
    Keywords : Implied volatility surface; stochastic volatility model; HJM framework;

    Abstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE

  3. 2. Cubature on Wiener Space for the Heath--Jarrow--Morton framework

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

    Author : Lutufyo Mwangota; [2019]
    Keywords : Heath–Jarrow–Morton model; stochastic Taylor expansion; Cubature formulae; Brownian signature; forward rate.;

    Abstract : This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the forward rate curve. READ MORE

  4. 3. An Introduction to Modern Pricing of Interest Rate Derivatives

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

    Author : Hossein Nohrouzian; [2015]
    Keywords : Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Abstract : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. READ MORE

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

    University essay from KTH/Matematisk statistik

    Author : Damr Tewolde Berhan; [2012]
    Keywords : ;

    Abstract : 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. READ MORE

  6. 5. Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet

    University essay from Institutionen för matematik och fysik

    Author : Michail Kalavrezos; [2007]
    Keywords : Heath-Jarrow -Morton framework; Java; interest rate derivatives; caps; Monte Carlo Simulations;

    Abstract : In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps). .. READ MORE