Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model.

Este trabalho tem por objetivo principal aplicar o modelo de precificação de opções de taxas de juros proposto por Barbachan e Ornelas (2003), com base nos modelos de taxa de juro e avaliação de opções de Cox, Ingerssol e Ross (1985), para avaliação de opções de compra sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI), negociadas na BM&FBovespa. Para estimação dos parâmetros deste modelo, foi empregado o método de Máxima Verossimilhança. Neste contexto, também fez-se uso da fórmula de precificação de opções proposta por Black (1976), adaptada para o mercado de derivativos brasileiros, conforme implementação verificada no trabalho de Gluckstern et al. (2002). Tal aplicação torna-se interessante, pois este modelo é amplamente utilizado pelo mercado brasileiro para avaliação de opções sobre o IDI. De forma a verificar a aderência dos preços teóricos gerados pelos modelos, em comparação aos preços de mercado, métricas de erro foram empregadas. De forma geral, nossos resultados mostraram que ambos os modelos apresentam erros sistemáticos de precificação, onde o modelo CIR subavalia os prêmios das opções e o modelo de Black superprecifica. No entanto, bons resultados foram encontrados ao avaliarmos opções in-the-money e out-of-money com o modelo de Black. / This work aims to apply the interest rate option pricing model proposed by Barbachan and Ornelas (2003), based on the interest rate model and option pricing model developed by Cox, Ingersoll and Ross (1985), to evaluate call options on the 1 day Brazilian Interfinancial Deposits Index - IDI, traded at BM&FBovespa. The Maximum Likelihood method was applied to estimate the model parameters. In this context, the option pricing formula proposed by Black (1976), adapted for the Brazilian derivative Market, was also used, according implementation verified in Gluckstern et al. (2002). This application becomes interesting because this model is widely used by the Brazilian Market to evaluate options on IDI. In order to verify the adherence of theoretical prices generated by the models, in comparison to the Market prices, error metrics were applied. In general, our results pointed out that both models presented systematic pricing errors, in which the CIR model underestimates the option prices and Black’s model overestimates. However, good results were found on the evaluation of options in-the-money and out-of-money with the Black’s Model.

The objective of the thesis is to acquaint readers with field of structured product valuation. It is a relatively complex issue which is, however, based on general valuation foundations. The opening chapter is dedicated to these general fundamentals of valuation. Emphasis is placed mainly on present value principle, a specific variant of comparison, and its related aspects. The second section describes key elements of structured product valuation. Greater part of this chapter is devoted to the Monte Carlo simulation, the most employed tool in valuation of these products in practice. An important part of Monte Carlo simulation is an option spread, which arises as by-product of the simulation and reflects value of an option contained in the evaluated instrument. Third chapter is focused on interest rate and prepayment models. Level of prepayment is dependent on interest rates development which both are the most critical factors that affect value of structured products. Description of models includes theoretical and mathematical formulation as well as mentioning their advantages and disadvantages. Valuation model is illustrated in the last part, which is demonstrated on valuation of hypothetical structured products example. Based on the model, the development of cash flows from underlying asset portfolio is forecasted which in turn determines the value of evaluated instruments. The final section deals with advantages of structured products and, hence, why banks and other institutions use them in practice.

在WTO成立，各國國際化程度日益提高的同時，企業與個人進行跨國投資的情形也愈來愈普遍，跨國投資除了要考慮標的資產之報酬與波動性之外，尚須考量匯率變動所產生之風險與不確定性。當某一國外資產具有正向預期報酬率的同時，實現後的報酬率卻又不一定為正，正是因為匯率波動所產生的影響。又，傳統財務理論告訴我們，藉由增加投資組合中所有非完全正相關的資產個數可以有效的降低投資組合的非系統風險，因此投資人在進行投資時往往採用建構投資組合的方式取代持有少數資產的型態。然而，在建構跨通貨避險投資組合時，若是對於投資組合中的各項資產與外幣分別進行避險（分別利用衍生性商品避險），往往是費時、費力又不具有效率。因此，對於整個投資組合進行避險反而是一個比較好的方法，當投資組合價值發生變動時，可以即時對於各項資產部位與外幣分別做調整，遠較於對個別資產進行避險來的方便、快速且有效。 / In most cases, investment is made of building a portfolio rather than single asset. Therefore, it is necessary to develop techniques of valuing portfolio derivatives. Moreover, we consider a cross-currency portfolio that account for currency and interest rate risk. As interest rate is stochastic, we use Heath-Jarrow Morton (HJM) Approach to describe its dynamics. Applying Vorst (1992); Geman, Karoui and Rochet(1995), we derive the approximated close-form of the cross-currency portfolio option. In HJM Approach, it is difficult to acquire hedge ratios of options. We apply another method to build a hedging portfolio. Then, we perform numerical simulations to test its hedging efficiency and sensitivity with respect to different variables.

The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.

Diss. (sammanfattning) Stockholm : Handelshögskolan, 2008 Sammanfattning jämte 3 uppsatser

Ce travail étudie des modèles financiers pour les prix d'options, les taux d'intérêts et le risque de crédit, avec des processus stochastiques à mémoire et comportant des discontinuités. Ces modèles sont formulés en termes du mouvement Brownien fractionnaire, du processus de Lévy fractionnaire ou filtré (et doublement stochastique) et de leurs approximations par des semimartingales. Leur calcul stochastique est traité au sens de Malliavin, et des formules d'Itô sont déduites. Nous caractérisons les probabilités risque neutre en termes de ces processus pour des modèles d'évaluation d'options de type de Black-Scholes avec sauts. Nous étudions également des modèles de taux d'intérêts, en particulier les modèles de Vasicek, de Cox-Ingersoll-Ross et de Heath-Jarrow-Morton. Finalement nous étudions la modélisation du risque de crédit / This work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Lévy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Itô formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study models of interest rates, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models

Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.