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Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap: Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap
Mälardalen University, School of Education, Culture and Communication.
2015 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis mainly focuses on analyzing and pricing European swaption via

Crank{Nicolson Finite Dierence method. This paper begins with some

rather common instruments, denitions and valuations are also provided.

MATLAB is the main computer language used throughout this paper, for the

numerical examples, the MATLAB codes are also provide in the appendix

in order for reader to reproduce the result. Also, the paper extends to price

cancellable swap in the end.

Place, publisher, year, edition, pages
2015. , 67 p.
Keyword [en]
swaption, hull-white, finite difference, cancellabe swaption
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:mdh:diva-27471OAI: oai:DiVA.org:mdh-27471DiVA: diva2:786522
External cooperation
västerås hålmakeri AB
Subject / course
Mathematics/Applied Mathematics
Presentation
2015-01-14, Mälardalen University, västerås, 18:30 (English)
Supervisors
Examiners
Available from: 2015-02-09 Created: 2015-02-05 Last updated: 2015-02-09Bibliographically approved

Open Access in DiVA

Swaption Pricing under Hull-White Model using Finite Difference Method with Extension to European Cancellable Swap(726 kB)591 downloads
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File name FULLTEXT01.pdfFile size 726 kBChecksum SHA-512
9daa558403abe1f617440c88bbd31f47e994fc82e7e49c3bcd21199bbcdb8999a5d02fbecf32c42d8afee7e34f9bbf4f0dc1e62a896e4871e6ef2159b9f930bb
Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • 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