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

Description

<p>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).</p>

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-469

Tags

Heath-Jarrow -Morton framework

Java

interest rate derivatives

caps

Monte Carlo Simulations

Applied mathematics

Tillämpad matematik

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA/oai:DiVA.org:mdh-469
Date	January 2007
Creators	Kalavrezos, Michail
Publisher	Mälardalen University, Department of Mathematics and Physics, Västerås : Mälardalens högskola
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, text