Essays about: "Hull and White model."

Showing result 6 - 10 of 15 essays containing the words Hull and White model..

  1. 6. 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

  3. 7. Analysis of Student Loan Asset-Backed Securities : Construction of a Valuation Model using a Trinomial Interest Rate Tree

    University essay from KTH/Matematisk statistik

    Author : Gustav Rehnman; Ted Tigerschiöld; [2016]
    Keywords : ;

    Abstract : Student debt in the U.S has grown rapidly over the last decades. A common practice among lenders is to pool the loans into securities that are sold off and traded between institutional investors. Since these securities have no market price this thesis aims to develop a valuation model. READ MORE

  4. 8. 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

  5. 9. 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

  6. 10. 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