Essays about: "Swaption cube"

Found 2 essays containing the words Swaption cube.

  1. 1. 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

  3. 2. 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