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Swaption pricing under the single Hull White model through the analytical formula and Finite Difference Methods
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Due to the interesting financial moment we are living, my motivations to write this Master thesis has mostly been the behavior of interest rates and models that can be used predict them. Thus, in this dissertation I have presented theHull-White model and the way to calibrate it against market data so it can be used to price interest rate derivatives. The reader can find both theoretical and practical presentations and examples along with the code to program them byhim/herself.

Place, publisher, year, edition, pages
2016. , 63 p.
Keyword [en]
Hull White, Swaptions, Negative interest rates, Crank-Nicolson
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-32332OAI: oai:DiVA.org:mdh-32332DiVA: diva2:946248
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2016-07-08 Created: 2016-07-04 Last updated: 2016-07-08Bibliographically approved

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