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Pricing Caps in the Heath, Jarrow and Morton Framework Using Monte Carlo Simulations in a Java Applet
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. , 57 p.
Keyword [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: diva2:120991
Presentation
2007-11-21, U3215, U, Mälardalens Högskola, Västerås, 15:00
Uppsok
fysik/kemi/matematik
Supervisors
Examiners
Available from: 2007-12-04 Created: 2007-12-04

Open Access in DiVA

fulltext(282 kB)584 downloads
File information
File name FULLTEXT01.pdfFile size 282 kBChecksum MD5
6c23806c98ec077b2363681f034b82327096e4ec95dc3b3cce4effb1ddfef6d39640db1a
Type fulltextMimetype application/pdf

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Department of Mathematics and Physics
Computational Mathematics

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CiteExportLink to record
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Citation style
  • apa
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