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Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet

In this paper the Heath, Jarrow and Morton (HJM) framework is applied in the programming language Java for the estimation of the future spot rate. The subcase of an exponential model for the diffusion coefficient (volatility) is used for the pricing of interest rate derivatives (caps).

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-469
Date January 2007
CreatorsKalavrezos, Michail
PublisherMälardalens högskola, Institutionen för matematik och fysik, Västerås : Mälardalens högskola
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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