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

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

By organisation

School of Education, Culture and Communication

On the subject

Engineering and Technology

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