Essays about: "Hull and White model."

Showing result 11 - 15 of 15 essays containing the words Hull and White model..

1. 11. Interest Rate Derivatives : An analysis of interest rate hybrid products

   University essay from Matematiska institutionen

   Author : Taurai Chimanga; [2011]
   Keywords : Interest rate derivatives; hybrid derivatives; stochastic interest rate; stochastic volatility; Shöbel Zhu Hull White model; hedging interest rate products;

   Abstract : The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. READ MORE

3. 12. On the Pricing of Credit Default Swaps: A comparative Study between the Reduced-Form Model and the Structural Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ivar Alfred Gretarsson; Nicklas Ennab; [2009]
   Keywords : econometrics; Economics; The Structural model; The Reduce-form model; The Merton model; Credit default swap spread; The Hull and White model; Probability of Default; credit risk; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This paper focuses on measurement methods of credit risk. By modeling credit default swap spreads and predicting possible defaults of corporations with the use of default probabilities this paper makes the search for consistent methods to measure and manage risk by constructing plausible forecasts of contingent corporate defaults. READ MORE

4. 13. An Application of the Hull-White Model on CDS Spread Pricing

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Manshu Li; Sebastian Wright; [2009]
   Keywords : credit default swap; Yield Spread; CDS spread; Hull and White model.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This study illustrates in detail the Hull and White reduced-from model for pricing CDS spreads and applied the model to real bond data. Following the assumption of the model, that the yield spread between a defaultable bond and a default-free bond only captures the probability of default, we aim at calculating a number of static CDS spread. READ MORE

5. 14. Stochastic Volatility Models in Option Pricing

   University essay from Institutionen för matematik och fysik

   Author : Michail Kalavrezos; Michael Wennermo; [2008]
   Keywords : Option pricing; stochastic volatility models; Monte Carlo simulation; Java applet; variance reduction techniques;

   Abstract : In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. READ MORE

6. 15. Modeling and monitoring of the price process of Credit Default Swaps

   University essay from Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Anna Loshkina; Elena Malysheva; [2008]
   Keywords : Credit Default Swap; CDS; Hull and White model; CUSUM; perfomance measures;

   Abstract : Credit derivatives are very popular on financial markets in recent days. The most liquid credit derivative is a credit default swap (CDS). In this research we investigate methods for modeling and monitoring of the price process of CDS. We study Hull and White model to calculate CDS spread and have data for our analysis. READ MORE