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 credits
Student 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. , p. 67
Keywords [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, id: diva2:786522
External cooperation
västerås hålmakeri AB
Subject / course
Mathematics/Applied Mathematics
Presentation
2015-01-14, Mälardalen University, västerås, 18:30 (English)
Supervisors
Examiners
2015-02-092015-02-052015-02-09Bibliographically approved