Language: | Slovenian |
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Year of publishing: | 2021 |
Typology: | 2.11 - Undergraduate Thesis |
Organization: | UL FMF - Faculty of Mathematics and Physics |
Publisher: | [J. Škoberne] |
UDC: | 519.8 |
COBISS: | 58167811 |
Views: | 855 |
Downloads: | 125 |
Average score: | 0 (0 votes) |
Metadata: |
Secondary language: | English |
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Secondary title: | HJM model for interest rate derivatives |
Secondary abstract: | I presented the HJM model for pricing interest rate instruments and the more specific HJM LIBOR model. I introduced assumptions of the model and explained basic concepts. I explained basic risk neutral valuation theorem under the martingale condition. I evaluated caplet and floorlet as well as gave an example. I showed the parity relation that links values of caplet and floorlet. In the multiperiod HJM model I evaluated forward rate agreements and futures. I explained different ways of volatility computations with HJM LIBOR model and the greeks with which we can hedge against interest rate risks. |
Secondary keywords: | interest rate cap;interest rate floor;swaption;hedging; |
Type (COBISS): | Final seminar paper |
Study programme: | 0 |
Embargo end date (OpenAIRE): | 1970-01-01 |
Thesis comment: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
Pages: | 26 str. |
ID: | 12589004 |