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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 1 to 2 of 2 (0.08 seconds)Spelling suggestions: "subject:"swap market model"" "subject:"wap market model""
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Pokročilé metody kalibrace modelů úrokových sazeb / Advanced methods of interest rate models calibrationHolotňáková, Dominika January 2013 (has links)
This thesis is focused on the study of advanced methods of interest rate mo- dels calibration. The theoretical part provides introduction to basic terminology of financial mathematics, financial, concretely interest rate derivatives. It presents interest rate models, it is mainly aimed at HJM approach and describes in detail the Libor market model, then introduces the use of Bayesian principle in calcula- ting the probability of MCMC methods. At the end of this section the methods of calibration of volatility to market data are described. The last chapter consists of the practical application of different methods of calibration Libor market model and consequently pricing od interest rate swaption. The introduction describes procedure of arrangement of input data and process of pricing of interest rate derivatives. It is consequently used for the valuation of derivative contract accor- ding to mentioned methods. 1
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Essays on interest rate theoryElhouar, Mikael January 2008 (has links)
Diss. (sammanfattning) Stockholm : Handelshögskolan, 2008 Sammanfattning jämte 3 uppsatser
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