Jezik: | Slovenski jezik |
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Leto izida: | 2021 |
Tipologija: | 2.11 - Diplomsko delo |
Organizacija: | UL FMF - Fakulteta za matematiko in fiziko |
Založnik: | [J. Škoberne] |
UDK: | 519.8 |
COBISS: | 58167811 |
Št. ogledov: | 855 |
Št. prenosov: | 125 |
Ocena: | 0 (0 glasov) |
Metapodatki: |
Sekundarni jezik: | Angleški jezik |
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Sekundarni naslov: | HJM model for interest rate derivatives |
Sekundarni povzetek: | 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. |
Sekundarne ključne besede: | interest rate cap;interest rate floor;swaption;hedging; |
Vrsta dela (COBISS): | Delo diplomskega seminarja/zaključno seminarsko delo/naloga |
Študijski program: | 0 |
Konec prepovedi (OpenAIRE): | 1970-01-01 |
Komentar na gradivo: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
Strani: | 26 str. |
ID: | 12589004 |