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).
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-469 |
| Date | January 2007 |
| Creators | Kalavrezos, Michail |
| Publisher | Mälardalens högskola, Institutionen för matematik och fysik, Västerås : Mälardalens högskola |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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