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

Kalavrezos, Michail

mdu.sePublications

Simple search

Advanced search -
Research publications Advanced search -
Student theses Statistics

English Svenska Norsk

Change search

Cite ExportLink to record

Permanent link

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

Direct link

http://mdh.diva-portal.org/smash/record.jsf?pid=diva2:120991

Cite

Citation style

apa
ieee
modern-language-association-8th-edition
vancouver
Other style

More styles

Language

de-DE
en-GB
en-US
fi-FI
nn-NO
nn-NB
sv-SE
Other locale

More languages

Output format

html
text
asciidoc
rtf

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

Kalavrezos, Michail

Mälardalen University, Department of Mathematics and Physics.

2007 (English)Independent thesis Advanced level (degree of Magister), 10 points / 15 hpStudent thesis

Abstract [en]

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).

Place, publisher, year, edition, pages

Västerås: Mälardalens högskola , 2007. , p. 57

Keywords [en]

Heath-Jarrow -Morton framework, Java, interest rate derivatives, caps, Monte Carlo Simulations

National Category

Computational Mathematics

Identifiers

URN: urn:nbn:se:mdh:diva-469OAI: oai:DiVA.org:mdh-469DiVA, id: diva2:120991

Presentation

2007-11-21, U3215, U, Mälardalens Högskola, Västerås, 15:00

Uppsok

fysik/kemi/matematik

Supervisors

Malyarenko, Anatoliy, Senior lecturer

Examiners

Silvestrov, Dmitrii, Professor

Available from: 2007-12-04 Created: 2007-12-04

Open Access in DiVA

fulltext(282 kB)

763 downloads

File information

File name FULLTEXT01.pdfFile size 282 kBChecksum MD5

6c23806c98ec077b2363681f034b82327096e4ec95dc3b3cce4effb1ddfef6d39640db1a

Type fulltextMimetype application/pdf

Total: 763 downloads

The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Total: 505 hits